You are facing the situation where the Priority drop-down list is not editable in 'Merge User Approved and Blocked Senders lists with Global lists' or 'Merge Group Approved and Blocked Senders lists with Global lists'
Email Security.cloud
Depending on your organization’s configuration, you may be able to specify one of the following scenarios for your group or your user lists:
By default, the drop down list with the priority is grayed out when the option Replace is selected. In order to select merge, ensure a group is moved to the "Group list control" section as highlighted in the screenshot.