Tente assim
db.Execute("ALTER TABLE Caminhoes ADD ComObs char(50)")
fiz um teste com este código e funcionou
Option Explicit
Dim Conn As ADODB.Connection
Dim Rs As ADODB.Recordset
Private Sub Command1_Click()
Set Conn = New ADODB.Connection
Conn.Provider = "SQLOLEDB"
Conn.ConnectionString = "server=silvio;database=db_bo;uid=sa"
Conn.Open
Set Rs = New ADODB.Recordset
Set Rs = Conn.Execute("ALTER TABLE Caminhoes ADD ComObs char(50)")
Set Rs = Nothing
set Conn = Nothing
End Sub