I recently have the problem in a grid where I used a dropdownlist as an editor. The datasource is looking as it should I have a string as text and a string as value. I used the "Events" Demo from the DropDownList demos to track all the events. So when I click on the DropDownlist the first time the "databound" event is called. Would be better if open was calles also but that is not the problem.
The major problem is that when I click on some value, the close event is fired, not the select nor the change, only close, every time. When I navigate over the list with the keyboard the select and change is fired but not when I click on it.
Also, I was not able to register a click event manually on the li's myself, only a mousedown, but then I have to get all the values myself and I have to fire all the events manually also.
I also have another grid where the DropDownGrid shows normal behaviour only in this grid it doesn't seem to work but I already ran out of options to debug it.