How to add events to Controls created at runtime in Excel with VBA

Answer 1

I think the code needs to be added to the Userform, not to the button itself.

So something like

With UserForm1.CodeModule
  'Insert code here
End With

In place of your With ThisWorkbook

Answer 2

Try this:

Sub AddButtonAndShow()

    Dim Butn As CommandButton
    Dim Line As Long
    Dim objForm As Object

    Set objForm = ThisWorkbook.VBProject.VBComponents("UserForm1")

    Set Butn = objForm.Designer.Controls.Add("Forms.CommandButton.1")
    With Butn
        .Name = "CommandButton1"
        .Caption = "Click me to get the Hello Message"
        .Width = 100
        .Top = 10
    End With

    With objForm.CodeModule
        Line = .CountOfLines
        .InsertLines Line + 1, "Sub CommandButton1_Click()"
        .InsertLines Line + 2, "MsgBox ""Hello!"""
        .InsertLines Line + 3, "End Sub"
    End With

    VBA.UserForms.Add(objForm.Name).Show

End Sub

This permanently modifies UserForm1 (assuming you save your workbook). If you wanted a temporary userform, then add a new userform instead of setting it to UserForm1. You can then delete the form once you're done with it.

Chip Pearson has some great info about coding the VBE.