The first combo boxes I saw were a mix of pop-up menus paired with an EDITABLE text field (a combination of the two, hence 'combo'). In that context, they make much more sense. Here's a classic popup button:
Whereas popup buttons were a menu that showed only the selected choice from the (un-editable) pop-up menu, combo boxes consisted of an editable text field plus a little "pop-arrow" button to its right:
You could type arbitrary text into the field, or you could choose one of the predefined choices (they were hence very popular for font size menus, where they were a few common, typically used sizes (9, 10, 12, 14, 18, 24, 36) but really any arbitrary value was valid and made sense.
Since the Mac's menus were originally triggered by clicking and holding the mouse button, then releasing over the item you wanted to choose (the intention was to provide access to a command with 'one click', according to Raskin, IIRC), they had no scroll bar. Instead, tall menus had arrows at the top and/or bottom (instead of a menu item) where more items were cut off, and if you moused over those, it would scroll slowly down, exposing more items.
By the time Windows introduced combo boxes, however, their menus had the now prevalent click-to-open-click-again-to-choose menu item selection behaviour. Thus, placing a scroll bar into a menu made perfect sense.
I guess the realization that Mac-style popup buttons were really just an archaic variant of a non-editable combo box eventually led to many UIs using combo boxes for popups as well. Or maybe the other platforms already had lists with checkbox-like multiple selection, so it was more obvious to implement them as pop-up lists and thus make it clear which menu was an option menu and which one contained actions.
On the Mac, menu items for commands and options looked the same, they were simply named differently (an adjective or a verb phrase), and option menu items drew a checkmark in their left margin when they were activated.