Are you using Visual COBOL 2.2 or an earlier release?
The following full program compiles fine for me in Visual COBOL 2.2:
program-id. Program1 as "testenum.Program1". data division. working-storage section. 01 validDomain condition-value. 01 myobj type MyClass. procedure division. set myobj to new MyClass set validDomain to myobj::ValidateDomain("GOV") goback. end program Program1. class-id MyClass. method-id ValidateDomain. 01 domainExt type DomainExtensions. procedure division using by value domainString as String returning validDomain as type Boolean. set validDomain to type Enum::TryParse(domainString, true, domainExt) end method. end class. enum-id DomainExtensions. 01 binary-long. 78 com. 78 edu. 78 gov. end enum.