음 CLX로 보니까 있네요 (이쪽은 영 꽝인데 -_-)
근데 헬프를 봐도, 소스를 봐도 TComboBox에는 OnHighlighted 이벤트가 있습니다.
(빌더6을 갖고 있지 않아서 델파이6의 헬프와 소스를 봤습니다)

    property OnHighlighted; // published

만약 없으면 다음과 같이 하시면 됩니다.

((TCustomComboBox *)ComboBox1)->OnHighlighted = atHighlited; // 크루저



사무엘 님이 쓰신 글 :
: CLX Reference
: TCustomComboBox::OnHighlighted
:
: CLX는 다른 건가요? 제가 잘 몰라서요.콤보박스를 쓰게 되면..디폴트로 VCL을 쓰게 되는건가요?
:
: Occurs when a new item in the list becomes current.
:
: typedef void __fastcall (__closure *TComboBoxHighlighEvent)(TObject* Sender, int Index);
: __property TComboBoxHighlightEvent OnHighlighted = {read=FOnHighlighted write=
: FOnHighlighted};
:
: Description
:
: Write an OnHighlighted event handler to respond when the highlighted item in the list changes. For example, you can use OnHighlighted to update a status bar that provides information about the current item.
:
: Sender is the combo box whose current item just changed.
:
: Index is the index of the item that is now highlighted.
:
: Note:    OnHighlighted reflects changes to the current item in the list that are not necessarily selected (that is, the text property has not yet changed.) For example, OnHighlighted occurs several times as the user cursors though the drop-down list. To respond only when an item is selected, use the OnSelect event instead.