I've figured out what's going on.
If the scaling of the external display is different from the scaling of the main display the dropdown does appear but it's shifted to a different position on the screen.
In my case I have the main display scaled at 200% and the external display scaled at 100%. If i set the external display to 200% everything's great but at 100% the dropdown doesn't show on the screen.
If I rotate my external screen into portrait mode and move DMD to the right, I can see the dropdown to the left of the screen and scaled to the value of the main display.
Andrew.