I just tried using arrow keys. But when I click or tab to set focus to the drop down, it expands (with first option in the list at the top, not the selected value).
Also, the drop down is inside a dialog, so the arrow keys just scroll the contents of the dialog even if the drop down has focus.
I will play with it some more - I was just hoping when the list is shown, there was the ability to default the list to show selected value at the top.