|OK, I think I was able to duplicate your issue, but it doesn't seem to be consistant. (See below for a possible solution)|
I'm not sure, but it appears that it is dependent on where your cursor is what you click the drop down arrow for the first time.
As you know, the drop down highlights the item in the list that was last selected and appears in the cell. If you happen to be in a blank cell when you click the arrow (maybe just for the first time?) then the drop down selects that entry, adds it to your list and that's the item it highlights the next time you click the arrow.
However, there is a much better way to create a drop down list of varying length:
Use a Dynamic Named Range that changes it's size depending on how many entries are in the range.
Go to Insert...Name...Define and enter a range name, such as myRange.
In the "Refers" to box enter this:
This will ceate a Named range that will start at A1 and extend down column A as far as there is data at any given time.
In your Data Validation Source field, use =myRange