Marcia,
You have to set the active control in the grid object
so that the first thing the event model encounters is
the actual control, in this case your drop-down list object.
See the system "current object"
jumps so to speak, and the first thing it finds when it
processes the grid, column by column is not the control itself,
on that column but it finds the label of the control.
It is irritating but true. So you can put a 1 and not
a zero on the right current object or current control
of that control object which you embedded into the column.
You have to go there via. the tree of objects after you
open the class. It is in the drop down where you find
the properties, methods, etc... such as in a tree view.
You scroll down to that control in that parent grid and
then set the properties, active control to your box, not the label.
But, you probably found this solution already before I responded.

We all must have had this problem when we first put anything
into a grid column. I know I had the same problem until I
ran the debugger and realized it did not "get focus" on
the control(your drop-down object), but instead on the label of the control.
There are other grid "bugs" or misbehaiviors. I would be glad
to come there and to work with You for some part-time work.
You will need some other code on the vallid 0r the 'after code'
or the trigger of the changed value after a user makes a selection.
You also need an initial value in both the parent class, the container
and in the text box. And, your drop down can't be too long or I
suggest a mover list instead, larger grids with drag and drop.
Thank You,
Bill Bittenbender