Ниже код работает нормально для меня:
DataValidation dataValidation = null;
DataValidationConstraint constraint = null;
DataValidationHelper validationHelper = null;
XSSFWorkbook wb = new XSSFWorkbook();
XSSFSheet sheet1=(XSSFSheet) wb.createSheet("sheet1");
validationHelper=new XSSFDataValidationHelper(sheet1);
CellRangeAddressList addressList = new CellRangeAddressList(0,5,0,0);
constraint =validationHelper.createExplicitListConstraint(new String[]{"SELECT","10-11", "20", "30"});
dataValidation = validationHelper.createValidation(constraint, addressList);
dataValidation.setSuppressDropDownArrow(true);
sheet1.addValidationData(dataValidation);
FileOutputStream fileOut = new FileOutputStream("c:\\temp\\abhishek.xlsx");
wb.write(fileOut);
fileOut.close();
wb.close();
Вывод: