CheckDataSourceKey, in order to validate the connection information, will open up a test connection to the DB. If all you need is to determine if the server hosting the DB is available, then PingServer(url) in IdeaBlade.Util.HttpFns might help. Note that ping will take the URL for the server, so you'll have to build it up from information in the connection string.
You can multi-thread the PingServer call without potential problems. CheckDataSourceKey is probably safe to use multi-threaded, but it would still be a better idea to make that call from another PM when using a separate thread.
You don't need to use DevForce to check the internet connection - the System.Net.NetworkInformation namespace contains some useful classes, such as Ping or NetworkInterface, which may do what you need.