Follow up,
I added ShowMessage () notifications for each event (OnCLick, and OnDropDown).
When both notifications were enabled, the DropDown message was raised. No sign of the Click message, but I was stubborn and waited a few seconds before clearing the box;-)
When DropDown was commented out, and with no clicking except on the DropDown button, the Click event was raised.
Personally I think that's wrong, but my guess is that it is now 'legacy' and has to be maintained in that way. I would have expected Click to be the result of clicking on the list, not just anywhere in the control.
Oh well,
che sera, sera