I have modified your code a bit and found that OnUpdate is called properly.

I have added the code to call WaitforResponse and reset the value of m_hasReceivedResponse to false.

Sub getTR()
    Dim c As Range, d As Range
    Dim i As Range, j As Range
    Dim strFields As String, strCurr As String
    Set MyDex2Mgr = CreateDex2Mgr()
    Set MyDex2MgrADC = MyDex2Mgr  
    ' Initialise using the DE_MC_ADC_POWERLINK enumeration
    MyDex2Cookie = MyDex2MgrADC.Initialize(DE_MC_ADC_POWERLINK)
    Dim DataStatus As Dex2Lib.DEX2_DataStatus
    'compile a list of strings
    strFields = "TR.ISPeriodEndDate"
    For Each d In Range("TRCodes")
        If d.Offset(0, 1) <> "" Then
            strFields = strFields & "," & d.Value
        End If
    Next d
   
    If Len(strFields) > 0 Then
        'loop for every stock and request data
       For Each c In Range("RICCodes")
            ' And create an RData object.
            Set MyDex2RData = MyDex2Mgr.CreateRData(MyDex2Cookie)
            'get Currency.
            m_hasReceivedResponse = False
            With MyDex2RData
                .InstrumentIDList = c.Value
                .FieldList = "TR.CompanyReportCurrency"
                .DisplayParam = "RH:In CH:Fd"
                .Subscribe
            End With ' curn:USD
            WaitforResponse
            strCurr = MyDex2RData.Data(1, 1)
            strCurr = "USD"
            If Len(strCurr) > 0 Then
                Set MyDex2RData = MyDex2Mgr.CreateRData(MyDex2Cookie)
                'Before using the input parameters as one would for the TR() function.
                With MyDex2RData
                    .InstrumentIDList = c.Value
                    .FieldList = strFields
                    .RequestParam = "FP:FY2014;FY1980 reportingstate:rsdt CURR:USD"
                    .Subscribe
                End With ' curn:USD
                m_hasReceivedResponse = False
                WaitforResponse
                PrintArray MyDex2RData.Data, ActiveWorkbook.Worksheets("Sheet2").Range("A1")
                ActiveWorkbook.Worksheets("Sheet2").Range("A1").Value = strCurr
            End If
            Set MyDex2RData = Nothing
        Next c
    End If
End Sub