I know, the Misc TCheckCombobox is not very useful...
You probably are looking for the TJvCheckedCombobox of the JVCL collection. It has not yet been ported to Lazarus, though. I just looked at it: It is at the end of a chain of ancestors which are not ported either. So, not a quick job, and maybe not portable...
As a workaround you could use a normally hidden TCheckListbox in combination with a TEditButton with an OnButtonClick event to show the Checklistbox. As you can see in the attached demo you need only a few dedicated procedures to get a decent behavior. (This most difficult part - to close the checklistbox by clicking somewhere into the form - is not solved, though).