You can try setting the property in code, but when I tried, it seemed to have no effect on the size of the box itself. Following is sample code fragment to show what I mean. The Tmemo is to test the output of the height.
procedure TForm1.FormCreate(Sender: TObject);
begin
ComboBox1.Height := 5;
Memo1.Clear;
Memo1.Lines.Add(inttostr(ComboBox1.Height));
end;