The code looks OK, so the most likely thing is that the WHERE clause matches no rows.
Start by checking how many rows the command is affecting: the ExecuteNonQuery returns that:
SqlComm.Parameters.AddWithValue("@DataID", txtDataID.Text);
int deleted = SqlComm.ExecuteNonQuery();
MessageBox.Show(string.Format("{0} rows deleted.", deleted), "DB Connection With App.Config", MessageBoxButtons.OK, MessageBoxIcon.Asterisk);
If that indicates zero, then use the debugger to check exactly what is in txtDataId and manually check the DB for exact matches using SSMS.