I had this issue in the Quick Drop window. And for reasons I can't remember now, I wasn't able to use a system combo box. So my solution was to have a frame decoration, with the same color as the panel, that I position exactly where that ugly black box would be. And the decoration is higher up in the panel order than the combo box. So when I assign key focus to the combo box, you don't see the ugly black border because the panel-colored decoration is above it. I also have to resize this decoration on a panel size, to ensure it's always surrounding the combo box at exactly the right size.
Programming UIs in LabVIEW is fun!