Call the 'select' method to select the first item when loaded data successfully, you can override the $.fn.combobox.defaults.onLoadSuccess to achieve this functionality.
<script>
$.fn.combobox.defaults.onLoadSuccess = function(items){
if (items.length){
var opts = $(this).combobox('options');
$(this).combobox('select', items[0][opts.valueField]);
}
}
</script>