Answering own question:
The right method is
Dim xpObjectSpaceProvider As New XPObjectSpaceProvider(ConfigurationManager.ConnectionStrings("ConnectionString").ConnectionString, Nothing)
Dim ObjectSpace As IObjectSpace = xpObjectSpaceProvider.CreateObjectSpace()
Me.ASPxMenu1.DataSource = New HierarchicalMenuItemCollection(New XPCollection(Of IMenuItem)(CType(ObjectSpace, XPObjectSpace).Session,
CType(New NullOperator("ParentItem"), CriteriaOperator),
New SortProperty("Order", DB.SortingDirection.Ascending)))