An improvement to the dropdown capability for the custom field manager in WP-Members 2.8.1 actually has an incompatibility for users with php less than 5.3. While I will patch this for the 2.8.2 release, you can apply the patch for 2.8.1 with these instructions. 
Note: if you are using PHP 5.3 or greater, this patch is unnecessary. If you are having issues with the dropdown, it is not likely related to this.
- Open the wp-members file /admin/tab-fields.php in the plugin editor (Plugins > Editor in the admin menu).
- Search for this line (line# 206):
$arr[7] = str_getcsv( $str, ',', '"' );
- change that line to the following:
$arr[7] = explode( ',', $str );
- Save this change.
Note: you will not be able to use commas in your values