Add the string 'AM/PM' to the global DefaultFormatSettings's time formats (e.g. 'hh:nn AM/PM' for ShortFormat, and 'hh:nn:ss AM/PM' for LongFormat) - this will switch to the 12-hour format. The drop-down, however, still displays 24 hours. Please file a feature request in the bug tracket, maybe somebody add 12-hour mode here as well.
Alternatively, you can also use the TDateTimePicker where you find settings in the Object Inspector to activate 12 hour mode. It has no hour/minute drop-down, though.