Without more info or some sample showing the problem, I am at a loss.
Does it happen when the grid (or another grid cell) does not have focus orginally? Say you click on a button, and the handler does not set the focus back to the grid. Then if you try to click on the combobox cell, is that when the list does not drop?
Are you handling CurrentCellActivating or CurrentCellMoving? These events might affect activation of the current cell.
You might be able to force the dropping of the cell by handling CurrentCellMoved.
private void gridDataBoundGrid1_CurrentCellMoved(object sender, GridCurrentCellMovedEventArgs e)
{
GridCurrentCell cc = this.gridDataBoundGrid1.CurrentCell;
if(cc.Renderer is GridComboBoxCellRenderer)
cc.ShowDropDown();
}