Есть такой метод CopyFromRecordset.

CopyFromRecordset Method


Copies the contents of an ADO or DAO Recordset object onto a worksheet, beginning at the upper-left corner of the specified range. If the Recordset object contains fields with OLE objects in them, this method fails.

Syntax

expression.CopyFromRecordset(Data, MaxRows, MaxColumns)

expression Required. An expression that returns a Range object.

Data Required Void. The Recordset object to copy into the range.

MaxRows Optional Variant. The maximum number of records to copy onto the worksheet. If this argument is omitted, all the records in the Recordset object are copied.

MaxColumns Optional Variant. The maximum number of fields to copy onto the worksheet. If this argument is omitted, all the fields in the Recordset object are copied.

Remarks

Copying begins at the current row of the Recordset object. After copying is completed, the EOF property of the Recordset object is True.


CopyFromRecordset Method Example

This example copies the field names from a DAO Recordset object into the first row of a worksheet and formats the names as bold. The example then copies the recordset onto the worksheet, beginning at cell A2.

For iCols = 0 to rs.Fields.Count - 1
ws.Cells(1, iCols + 1).Value = rs.Fields(iCols).Name
Next
ws.Range(ws.Cells(1, 1), _
ws.Cells(1, rs.Fields.Count)).Font.Bold = True
ws.Range("A2").CopyFromRecordset rs

CopyFormRecordset вставляет то что лежит в курсоре
Возможно ваш курсор не поддерживает сортировку

А грид их может сам сортировать через клиентский курсор.
Я для курсора ставил сл. параметры
CursorType = adOpenDynamic
CursorLocation = adUseClient
LockType = adLockOptimistic