I understand this has been a feature that's intentionally removed two years back
according to this post: -
http://mail.gnome.org/archives/epiphany-list/2003-October/msg00050.html

But I do hope that epiphany developers can look this request again to reconsider
putting in this feature again.

The removal of the combo box from the location bar is based on the idea that it
is a bad ui and also because few users will use the drop down box for the
browser history. 

I believe that the purpose for the combo box might had been misjudged. I do not
remember how it had been implementated before 2003. But the from I saw from
other browsers like internet explorer, opera and firefox. The combo box serve to
allow users easy access to the url that they had typed in previously and chosen
not to bookmark. This is very different from using the combo box to browse
history, for the combo box does not display addresses that had been got on to
through links, it only display addresses that had been typed into the address
bar or copied and pasted into. 

The idea from I got from the post justifying the removal is that users can type
into the location box to access the list of items he need. But if the user have
to be forced to switch from using the mouse to typing in the location bar to
identify and go to the address that's need, isn't that a ui bug in itself. 

Very often, users will need to transcript addresses from hard sources or from
computer output to the address bar without bookmarking them for future
references. The need to move the hands to the keyboard again to get it back can
be very annoying, the ability to access them easily with the mouse is very
handy. I must say that this is strongest edge that other major browsers had over
epiphany so far which beat everyone of them in terms of speed and ui.

Other information: