Existe un componen dbgrid que tenga forma redonda

Prueba esto.
Private Declare Function CreateEllipticRgn Lib "gdi32" (ByVal X1 As Long, ByVal Y1 As Long, ByVal X2 As Long, ByVal Y2 As Long) As Long
Private Declare Function SetWindowRgn Lib "user32" (ByVal hWnd As Long, ByVal hRgn As Long, ByVal bRedraw As Long) As Long
Private Declare Function DeleteObject Lib "gdi32" (ByVal hObject As Long) As Long
Private Sub Command2_Click()
Dim Rgn As Long
Rgn = CreateEllipticRgn(0, 0, 100, 100)
SetWindowRgn Grid1.hWnd, Rgn, True
DeleteObject Rgn
End Sub

Te recomiendo que visites www.devexpress.com y eches un vistazo a la colección de grids que tienen.