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.
The only time I know of where the button will not display is if the column in the grid is not editable - either because you are disabling the editing of the grid column or the field in the data source cannot be edited.
It's possible that there was a bug in v9.2 where the button does not show up, but I don't remember any such bug and that would be a pretty huge bug for our QE folks to miss, so it seems unlikely to me.
Of course, you can always try updating to the latest service release and see if that helps:
How to get the latest service release - Infragistics Community
If that doesn't help, see if you can post a small sample project here demonstrating the behavior you are getting so we can take a look.