VESTA is concerned with crystallography, rather than chemistry. A VESTA 'bond' is based on the distance between two atoms, and says nothing about any actual attraction between them.
Because of this, there is no way to display double bonds, per se. It is, however, possible to create two different types of bond - since double bonds are usually shorter - and then display them at different thicknesses. To do this, create the two types of bond and then go to the 'Objects' tab in the left hand pane. Select 'Bonds' in the top panel, find the bond you want to become the double bond, double click in its radius ('r / w') column and increase the number.
Hope this helps,
Philip