You have not checked wxTE_PROCESS_ENTER in the combobox style (I asked you explicitly about this):
CmdBox = new wxComboBox(wxp1, ID_COMBOBOX1, wxEmptyString, wxDefaultPosition, wxDefaultSize, 0, 0, 0, wxDefaultValidator, _T("ID_COMBOBOX1"));
should be
CmdBox = new wxComboBox(wxp1, ID_COMBOBOX1, wxEmptyString, wxDefaultPosition, wxDefaultSize, 0, 0, wxTE_PROCESS_ENTER, wxDefaultValidator, _T("ID_COMBOBOX1"));
Goto wxSmith and check it.
EDIT: extract fom the tutorial (https://wiki.codeblocks.org/index.php/WxSmith_tutorial:_Keyboard_Input_and_Displaying_Results#Getting_Input_from_the_User_and_Handling_the_Items_List_in_a_Combobox) you were following;
You may notice that nothing happens when you press Enter in CmdBox. That is because we have to set CmdBox to handle that event. Select this control in Code::Blocks Resources window, then in Properties open Style section and check wxTE_PROCESS_ENTER. Now it's working as expected.