There doesn't appear to be any way to directly unselect an item in a list in Dropdown mode. However, you can unselect an item in List and Radio Button modes if you check the box to enable MultiSelect. When this is enables, using Control-pick will unselect the selected item.
Now here's a way to indirectly unselect an item in a dropdown list: if you put a List or Radio Button list in the mashup also (with MultiSelect enables), connected to the same data service, then when you unselect the item in the List or Radio Button list, it will also be unselected in the Dropdown list. But although that works, it's not an elegant way to do it in an application...
