You should rather ask what is Access doing wrong... I think Jet engine does not have enough power to process this complex task.
You have two options (at least):
1) Create temporary table from your query and calculate pivot results from this table:
SELECT tblData.Group, tblMonths.fMonth, tblData.VR, (SELECT TOP 1 tblTransfers.To
FROM tblTransfers
WHERE (((tblTransfers.TxDate)Months.fmonth) AND ((tblTransfers.Group)=tblData.Group))
ORDER BY tblTransfers.Group, tblTransfers.TxIdx) AS ActingDMC
INTO YourTempTable
FROM tblData, tblMonths
ORDER BY tblData.Group, tblMonths.fMonth;
2) Try newer Access version which does not use Jet engine but much better ACE engine