I'm not sure how often your data is sent, or how long the msgbox is displayed, but there could be a buffer overrun I suppose if the msgbox is up and the data is continuing to come in. I would have thought the I/O would be on another thread, so would buffer data even with the msgbox up. You would think there would be enough buffer (I'm thinking 1024 bytes), in the serial control, but I haven't played with VB6 serial in a long time, and not too much serial data connections even when I did.
I could see that depending on when you started, the first shot could be a partial message, but after you've found the first double newline instance, the reading would be synced up after that.
Anyway, I guess I'm done.