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'
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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 dropdown list with the priority is grayed out when the option Replace is selected. If you select the Merge option, the dropdown list selection becomes available: