In my case, I am working with Windows XP Tablet Edition and using the Energy Blue color theme. The drop-down menu color for this theme just happens to be white, hence what was shown in my screen shot. If you change this property, it is applicable for the sub-action drop down, but also ALL other drop down menus in Windows (example below).
Sorry I don't have better news for you. It would certainly allow us to create more consistent and compelling interfaces in our Notes apps if we were able to style the drop down. Anybody at Lotus listening? :-)