The variable loDO loses scope once the INIT code finishes running. Once that happens the CA object is also destroyed and the cursor associated with the CA is also closes. You could make loDO a publica variable [least desired way], or you can add a property to the form to hold the object reference to the CA. Something like:

THISFORM.AddProperty('oGridSource')
THISFORM.oGridSource = Createobject("CursorAdapter")
WITH THISFORM.oGridSource
   .DataSourceType="ODBC"
   .alias="ODBC_CCS"
   .Datasource=Sqlstringconnect(CONNECTION_STRING)
   .SelectCmd="select * from  supervisores"
   .CursorFill()
ENDWITH
THIS.RecordSource="ODBC_CCS"

I would have my CONNECTION_STRING defined as a constant in a header file. That way, you only need to change the string in the header file instead of hunting through all your forms, code, etc., to change it in all locations.

In the Destroy of the Form, you need the following code:

IF PEMSTATUS('THIS', 'oGridSource', 5)
   THIS.oGridSource = .null.
ENDIF

My preference would be to create a generic CA class in a VCX and add that CA to the DE of the form. You can populate your properties there and let the form handle the creation and destruction of the CA.