I could someway solve it changing DBAdvGrid's DefaultRowHeight.
It was 22, and my font was Segoe UI Size 9 (Height -12).
In DBAdvGrid/AdvGrid source code I've seen that the number of drop items shown depends on cell height, so I noticed when I changed it's Font to 8 (-11) I got the 2 lines in the combo drop down. So I increased DefaultRowHeight.
I still can't tell what makes it fail in the existing project and work well in a new one with the same dpi awareness, method, same VCL Style, etc.
Anyway, there's still an open question: Why did it reduce the number of combo items shown instead of having calculated a proper height to fit all the items that should be shown?