Browsers don't have fundamental datetime data types. So Ignition is forced to transmit timestamps in datasets or other date objects in the only loss-less format possible: the underlying UTC milliseconds.
Many Ignition components that expect datetime values automatically render them in the session timezone, and parse input in the session timezone. Other components, like the table, can be configured to recognize timestamps in specific columns.
The dropdown component doesn't have this capability. You will need to stringify the labels (not the values) for your user, applying the session time zone. This somewhat deep topic provides some tools for this: