Drop down is not the right choice for you.
I don't think combo-box is the right control at first place here for a simple reason.
Color coding needs to be explained
You can't assume that your used will understand the logic behind these color coding. For all you know, he might take read red color as a sign for something that is
Not much info can be given in a dropdown item
I guess the reason behind putting colors was to communicate the urgency and the expected turn-around time for these priority-type. I guess an example of the same would help, but you cannot add a lot of information in a drop-down without cluttering it.
What you should do?
1) Show three radio buttons
High right adjacent to each other.
2) When user select one of them, highlight them and show a message just below it to give more insights about the certain attributes of the priority such as
High priority tasks are expected to be solved within 24 hours
3) Put a checkbox just below this message with label
Don't show this tooltip again.
If user selects this, don't show these messages again.