I don’t have drop-down in TinyMCE too (WordPress version: 3.9.1, plugin version 3.5)
TinyMCE changed significantly in WP3.9 and the drop-down is no longer compatibility. I’m looking into an update, but it will be a bit before that portion is fixed.
Not fixed yet? I have this issue as well. For me not a problem, but other people using the site are not so familiar with shortcodes.
Not fixed yet. I have a very busy schedule and this plugin, unfortunately, has been low on my priority list. I plan to work on it more, but it is yet to be fixed.
If any devs want to help out, the plugin is on Github. Please contribute if you can.