I've read somthing about this in the past; can't find the link right now though.
The combobox uses an embeded textbox to allow editing. I assume you use a handle to the textbox in the HideCaret API and that you tried to do the same for the combobox. You most likely used the handle to the combobox when you need to use the handle to the textbox contained in the combobox.
Hope this helps and sorry I couldn't be of more assistance. I will try to find the article however.