I'm implementing something similar to this article except the popup control is a usercontrol and not necessarily a grid.
HOWTO:Creating a Multi-Select Dropdown Combo for the WinGrid
However, when I change ButtonDisplayStyle to some other value other than "Always", the button doesn't seem to show up. I'm setting the property in exactly the same location as the above sample.
If the button does not display, it probably means that the grid column is not editable.
I've seen similar posts, and it looks like it is not working as expected in version 9.2. It's either the dropdown button is always there or not.