У меня работает этот код:
ultraGridValueList.ValueListItems.Add ("ValueMemeber1", "DisplayMemeber1");
ultraGridValueList.ValueListItems.Add ("ValueMemeber2", "DisplayMemeber2");
ultraGridValueList.ValueListItems.Add ("ValueMemeber3", "DisplayMemeber3");
ultraGridValueList.ValueListItems.Add ("ValueMemeber4", "DisplayMemeber4");
ultraGrid1.DisplayLayout.Bands [0] .Columns ["myDropDownCol"]. ValueList = ultraGridValueList;