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Having a look at this. It looks that you cannot move on the dropdown properly with the arrows, you can move using the tab and select the first or last option using Start / End (Inicio / Fin) keyboard keys.
In order to make accessibility requirements, dropdowns must be searchable in order to apply aria-labels.
This is a limitation of the React-Select package being used. This is a known issue and a PR is up to fix this.
https://github.com/JedWatson/react-select/pull/3090
If this is a critical issue and can't wait for this PR, then a new dropdown should be investigated or a custom one built.