Before anyone marks this as duplicate, plz note that this is not the same as the questions asked here, here and here.
When you have two or more DataGridViewCom
There's nothing wrong with your code. This is the designed behavior for the .NET DataGridView control.
If you click on the button (the pointing down arrow) on the right side of the drop down control rather then on the text area, the drop down list will show right away - 1 click.
If you click on the text area of the drop down control, if will get the focus first and then show the drop down list - 2 clicks.
If at the moment another drop down list is expanded then it would take an extra click to collapse it - that would be 3 clicks.
There are a couple of workarounds to improve this behavior. Take a look at this MSDN discussion. IMHO these kinds of alterations are not worth it but it's certainly up to you to decide what suits best to your project.
Best Regards.