Run code:

import javafx.application.Application;
import javafx.beans.value.ChangeListener;
import javafx.beans.value.ObservableValue;
import javafx.scene.Scene;
import javafx.scene.control.ComboBox;
import javafx.scene.layout.VBox;
import javafx.stage.Stage;

public class JavaApplication44 extends Application {

    public static void main(String[] args) {
        launch(args);
    }

    @Override
    public void start(Stage stage) throws Exception {
        VBox vb = new VBox();
        ComboBox cb = new ComboBox();
        
        cb.getItems().addAll(1, 2, 3);
        cb.getSelectionModel().selectedIndexProperty().addListener(new ChangeListener<Number>(){

            @Override
            public void changed(ObservableValue<? extends Number> ov, Number t, Number t1) {
                System.out.println("New value: <" + t1 + ">");
            }
        });
        
        cb.getSelectionModel().selectedItemProperty().addListener(new ChangeListener(){

            @Override
            public void changed(ObservableValue ov, Object t, Object t1) {
                System.out.println("New value: <" + t1 + ">");
            }
        });
        
        vb.getChildren().add(cb);
        
        Scene scene = new Scene(vb, 300, 300);
        stage.setScene(scene);
        stage.show();
    }
}

Press F4,
Press down, down, to select the second item,
Press Enter,

I see output:

New value: <1>
New value: <0>
New value: <2>
New value: <1>
New value: <>

That means, that selected item was not selected and selected item is "". Empty selection is shown after pressing of Enter.

It is not reproducible with space key.