It’s simply the nature of the control. The Enter key (or a mouse click) is what makes the selection. To submit the form when pressing Enter would result in a poor user experience, since the form would essentially be unusable.
I would not recommend changing the behavior via JavaScript, simply because the default behavior is the norm and what everyone will expect.
(Imagine what it would be like if every form submitted when you made a selection in a drop-down list. Consider searching on Amazon.com, for example. One selects a category then enters the search term. If one selected a category by pressing Enter, the form would submit before the search term could be entered.)