It looks like ComboBox skates around that by wrapping the List in a Group.
That is exactly the same solution that I've found later on after I posted my question at Adobe Forums.
As Tom Eastmond had pointed out http://eastmond.org/blog/?p=1, Group container does not implement IFocusManagerContainer interface, i.e. does not "steal" the focus from current value set in FocusManager.
This solution will work for Flex 4 SDK, but users of Flex 3 SDK seems to be left without an option, base class Container implements for all Flex 3 containers implements IFocusManagerContainer interface.
Well, mx:List is not a Container so it doesn't have this problem in Flex 3.
If you want to popup a container, you can always wrap that container in a