In 3.2.1.0, there is a property you can set to avoid this behavior.
GridComboBoxCellModel cellModel = grid.Model.CellModels["ComboBox"] as GridComboBoxCellModel;
cellModel.AllowDoubleClickChangeSelectedIndex = false;
In earlier versions, you need to derive the combobox celltype. When double clicked on a combobox cell, the OnEditPartMouseDown method of the combobox cell renderer is called that replaces it with the next item in the dropdown. To cancel it, for now you have to override the OnEditPartMouseDown deriving the cell renderer and cellmodel.
Here is the modified sample that does it for read-only cells.