Guess,
I didn't see the tree for the forest. Thanks. I've modified a bit as Attempt5 because with your Attempt4, an error would occur if the CC just created is not the first indexed in the selection paragraph.
Code:
Sub Attempt5()
Dim oRng As Range
Dim oCC As ContentControl
Set oRng = Selection.Range
Application.CommandBars.ExecuteMso ("ContentControlDropDownList")
oRng.End = oRng.End + 2
Set oCC = oRng.ContentControls(1)
With oCC
.DropdownListEntries.Add "A", "Apples"
.DropdownListEntries.Add "B", "Beets"
'Result: A fully functional DDL content control.
End With
lbl_Exit:
Exit Sub
End Sub