I'm a bit old school, so I prefer using dlls because I understand them better. With ActiveX you have to deal with major / minor revision numbers and GUIDs. I think with LabVIEW, every time you build a new ActiveX server in LabVIEW, it will change the GUIDs (even if it is binary compatible), which may cause some issues with certain development environments. ActiveX is usually slower unless you have SMP and a well designed application. Also, if you create a dll it will be easy to port your application to another OS like Linux or Mac.
Since you are using VB, ActiveX might be the easiest.
I think everyone will have different opinions depending on the experience and application goals.
My best advice is to create the same project, one as a dll and another
as ActiveX and try using them both. Make a small change, recompile the two and try to use the updated dll / ActiveX server again. It will probably take no more than an hour or so, and you'll be able to tell which you prefer or works better for your application and you'll save a lot of time and second guessing in the long run.