I am having the same issue. The NGUI pulldown is not showing up. I have not updated to the newest Unity update, I am doing this now. I am using Unity 4.5.1f3. I will install the 4.5.2f1 as soon as I have a moment. I do not know if this is the issue. I am also going to start a new project to see if maybe that is the issue. I sure hope not. I will post back with what worked(if anything) or what did not.
Edit: I started a new project and the pulldown showed up. So now I am a little worried. I have tried to make a new project then move my code and entities to the new project and everything works until I exit and start Unity back up. It states I have to update my project. When it updates the NGUI pulldown disappears. I have many hours into my code. For time reasons I can not redo what I have already done. If there is anyone that can think of a way to get this fixed please let me know. Thank you in advance! I am now trying to update unity. I hope that fixes the issue. Will post back again either way.
Edit2: Ok so my problem was I had a GUISkin activated in a primitive UI script I created before I imported NGUI. After I took out the GUISkin the pulldown menu came back. I don't know if this is something that will fix the OP's problem. I hope this will help.