3- برای ساختن لیست ID ها و گذاشتن اون در commandtext هم باز نیازی به حلقه نیست:

        dim ids=from row as datagridviewrow in DataGridView1.rows where row.cells("id").value isnot nothing select row.cells("id").value

        With DataGridView1

            Using connection As New SqlConnection(connectionString)

                connection.Open()

                Using command As New SqlCommand

                    command.CommandText = "DELETE FROM [YourTable] WHERE [Id] IN (@ids)".replace("@ids",join(ids.toarray,","))

                    command.ExecuteNonQuery()

                End Using

            End Using

            .DataSource = Nothing

            .Rows.Clear()

        End With