Unfortunately this is default IE 11 behavior. I have looked also for a solution but until now I was only able to style the dropdown selector for Firefox, Chrome and Safari.
You can however hide the selector, you can add the following to your custom SASS file:
select::-ms-expand {
display: none;
}
Good luck
EDIT: I've found something but that would overwrite the default Atlas dropdown selector icon: https://fabriceleven.com/design/clever-way-to-change-the-drop-down-selector-arrow-icon/
EDIT2: Added this information also to an open support ticket I have with Mendix about a similar issue.
Which version of IE are we talking about?