This is currently not supported. It is on our to do list, but I do not know when it might be done.
If you want to try something, you might set focus to the list when you drop it. This will cause the parent frame to blink, and thus may not be something you want to do.
Private Sub GridControl1_CurrentCellShowedDropDown(ByVal sender As Object, ByVal e As System.EventArgs) Handles GridControl1.CurrentCellShowedDropDown
Dim cc As GridCurrentCell = Me.GridControl1.CurrentCell
If cc.RowIndex > 0 And cc.ColIndex > 0 Then
Dim style As GridStyleInfo = Me.GridControl1(cc.RowIndex, cc.ColIndex)
If style.CellType = "ComboBox" Then
Dim combo As GridComboBoxCellRenderer = cc.Renderer
combo.ListBoxPart.Focus()
End If
End If
End Sub