You should be fine, it's natural to feel that your not picking things up quickly enough. The usual motivation for companies to sponsor PhD students is to get access to a supervisors expertise, not a students. As far as we are aware the only person in a position to 'let you go' is your academic supervisor, not the sponsoring company. Nobody with any sense is going to judge your performance after only two months. You are obviously worried, so speak to your supervisor within the company and your academic supervisor to find out what is expected of you.