Hi,
I never used DisplayDatamap. Maybe the problem is in there ? Try first something simple and see if this works like this example:
Code:
Map map = MP.ActiveMap;
Location loc = map.GetLocation(50, 4, 1);
Pushpin pp = map.AddPushpin(loc, "Wilfried");
MapPoint.DataSet newSet = map.DataSets.AddPushpinSet("New set");
pp.MoveTo(newSet);
Is in C# but you can easely convert it to VB and try it.