This is SAS-related, not VB or VBA (different things. There is also VB.NET).
It has to do with the COM libraries used with SAS/Integration Technologies. When you are using SAS/EG, you are most likely connecting to a SAS server somewhere. Hence, you are not using a local version of SAS. SAS is executing elsewhere. SAS has 3 providers (Local, Share, and IOM). You need to find examples using IOM, not local. You have to execute your SAS code on a remote instance and then get the data back.
Look for articles by Chris Hemendinger on IOM and VBA. You can also glean some knowledge from his articles on VBScript (another variant), PowerShell, C#, etc. Share may also work but IOM is probably your best bet.
EG does not have to use a SAS Server but based upon your comments, it probably does.
Any chance you can get a local instance of SAS?
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