If the cell is not editable, then you will not even see the dropdown arrow in that cell. Can you see the dropdown arrow?
One possibility is that the cells are not editable, i.e., CellActivation is set to one of the values that prevents the cell from entering edit mode. Another possibility would be that the ValueLists collection already contains a member the a key of 'MyValueList' at the time InitializeLayout fires, thus preventing the code in that conditional from being executed. If you attach a simple sample that demonstrates the problem we can take a look.