I just discovered somethings...
One problem that I had with dropdown menus was in Photoshop for Mac and it was the Layer Blend Mode. On PC is like you said: select it then use arrow keys. But not on a Mac! Here its shift+/shift- to cycle thru these options. This saves a lot of time when trying new effects and its great not having to click and select each one of the drop down menu options. But whenever you clic on the drop down menu it will never give you the option of using arrow keys, you either click on an item with the mouse or use the shortcuts...
The other problem I always had was with Pages. I still have it by the way. Whenever I try to experiment with different fonts on a word I have to highlight the word, click on the Fonts drop down menu and select the font. If I want to try a new one I have to do it all again. There is no way I can click on the drop down and then use the arrow keys. And you know what's funny? You CAN do this on Photoshop! If you try to use text on Photoshop and want to experiment fonts you CAN click on the fonts drop down menu and use arrow keys.