There are also somewhat weird effects when doing this in other dropdown boxes (eg. scroller texts) too.
I don't know exactly how forms work in C#. In Delphi, you get bugs similar to this if you rely on the OnClick / OnChange event handling; the OnSelectionChange event should be used instead to properly handle this case (it even handles cases where the selection is changed by other code, though in this case it passes a boolean value that indicates the change was not performed by the user).