What you tried won't work because it doesn't affect the event handler registered by the combobox. You can simply replace that handler with one that doesn't navigate using the arrow keys (although, as a user, I feel compelled to ask why you're doing this):
kendo.ui.ComboBox.fn._keydown = function(e) {
var that = this,
key = e.keyCode;
that._last = key;
clearTimeout(that._typing);
if (key !== kendo.keys.TAB &&
key !== kendo.keys.DOWN &&
key !== kendo.keys.UP) {
that._search();
}
};
(add this code somewhere before you first create your combobox)