As far as I know, Paging is not built-in inside the DataList control.
You'll have to manage it yourself.
In order to do that with LLBLGenProDataSource, you'll have to set LivePersistence = false;
and then handle the following events:
PerformGetDbCount
PerformSelect
PerformWork
In the PerformSelect handler you should pass the PageSize and the PageNumber to the fetch method you call to fill your inner data container.