Stevev,
Welcome to Cognos Solutions forum.
I can offer some experience in a similar situation to yours; I report against a Progress 9.1d DB using Cognos and ODBC. However, it is an Openlink driver, rather than Datadirect. We had some fun in setting it up, due to our boxes working as a cluster and the need to link the libraries.
The good feature about Progress and the Openlink driver is that I can run one report against two progress databases.
However, there are some limitations of the driver in comparison to that of Progress, although few that have limited reporting. The main gripe I have is that I cannot have both outer joins and equi-joins in the same report. To get around this, I stage data in a SQL server datamart (more a datacart).
That notwithstanding, I can recommend Openlink in light of their excellent support.
You'll find that the speed of ODBC in comparison to Progress is somewhat disappointing, but then I'm sure that won't come as a great surprise.
I'm afraid I can't comment on ODBC & record locking, as I use a side-ways copy of the trading data. This is due to our having record locking issues with our trading system - not written in the most efficient manner, I guess.
You might get some feedback in the Progress forum (but perhaps you've already posted there....)
lex
soi la, soi carré