I think the problem is that it's straying away from the time-tested control it evolved from. People know how to use drop-down/combo-boxes... they've been using them for years. Don't try to invent a brand new control.
How about making it behave more like a real drop-down box, where whatever pops up out of it doesn't obstruct the original control you clicked on. This way you don't need "close this" type links (which aren't very appealing), and the user will automatically know that they can click the drop-down box again to close the list.