When you set the Font property on a TabPage, you are setting the default font for all controls on that tab page. You are not setting it for the header, however.
When you execute the following code:
tabControl.TabPages(index).Font = New Font(Me.Font, FontStyle.Bold)
Any controls on that page will now be bold by default, which is not (I'm assuming) what you want.
The header's font (that is, the tab itself) is controlled by the TabControl's Font property. If you were to change your code to:
tabControl.Font = New Font(Me.Font, FontStyle.Bold)
You will see that in action. However, it changes the font for all the tabs on display, which is also not, I'm assuming, what you want.
So, using the default WinForms tab control, you are (I believe) limited to the technique in the link you've posted. Alternatively, you can begin looking at 3rd-party controls, such as those discussed in these questions on StackOverflow.