I dunno - I'm not seeing a DataSouce prop in Intellisense. Like I said, there "is" a property - it just doesn't show in I-sense. There's a databindings object hierarchy you can tap into.
However, there is (or at least was) a bug in the checkedListBox control that forgets which item is checked when the items have been filled using the DataSource property and when its Visible property is set to false, then back to true. It's discussed here:
http://www.codeproject.com/KB/combobox/fixedcheckedlistbox.aspx Like I said, when I used to use this control, I populated the control manually....so that might be the best bet. (It's just a few lines of code)