How can I avoid the title bar flashing when a CGXComboBox is dropped down?

You need to process the WM_NCACTIVATE method in your CDialog class.

BOOL CSample1Dialog::OnNcActivate(BOOL bActive) 
{
   if (GXDiscardNcActivate())
      return TRUE;
   
   return CDialog::OnNcActivate(bActive);
}

If you have embedded the grid in a property sheet, you should process the WM_NCACTIVATE method of your CPropertySheet class and not the CPropertyPage.