The empty string is specially treated as a 0 by the formula engine. If you return any string other than the empty string, you would see that string in the cell.
So, if you return " " instead of "", you would see a blank in the cell. This would be the simplest thing to do.
If you really need to see the cell display the empty string, you can handle the DrawCellDisplayText event and specifiy what text you want to see in the cell there.
Private Sub gridControl1_DrawCellDisplayText(sender As Object, e As GridDrawCellDisplayTextEventArgs)
If e.Style.Text.ToUpper().StartsWith("=DATA(") And e.Style.FormattedText = "0" Then
e.DisplayText = ""
e.Cancel = True
End If
End Sub ''gridControl1_DrawCellDisplayText