Custom Webtest Plugin:
If you want to extract all matches, then there is no built-in way to do this. You can however do this through a custom webtest plugin (which means you will need to code this).
Usually when you test a dropdown list, you will know ahead of time what is in that list. You then populate some datasource with those items (i.e. csv/excel/sql) then attach them to the webtest as a datasource. You can then choose the access method (such as random/sequential/unique). The last step would be to add a "Validation Rule" to check against those items. The value of the Validation Rule would be the given parameter name of the datasource.
The split is the best way to do this, you should not hardcode data to a csv that can be pulled from a response. By doing all the data extraction at runtime your scripts will be of more value in the future if any of the dropdown values were to change or if new options were added.