In my opinion, the dropdown works perfectly the way it is when it comes to which item is selected when the user clicks in a different cell. The only addition I would make is for the dropdown grid to be "closed" when the user clicks the dropdown arrow while it is open.
So see this behavior, just place a normal combo box on a form, fill it with some items, and click the drop down arrow, which displays the list, and then click the arrow again, and the list goes away. That's all I am suggesting.