Finally, I solved this issue with a workaround. My guess is that each time a QComboBox gets the editable state, an internal QLineEdit is created, when it gets not editable the QLineEdit is destroyed (test the lineEdit() function to understand). But each time the QLineEdit is created, the stylesheet is lost, I guess beacause it is not saved in the QComboBox widget.
So, my workaround has been to reimplement the setEditable(bool editable) function. When editable is true, I reapply the stylesheet to the QComboBox. The stylesheet is accessible by the styleSheet() function, if it has been applied to the specific widget. Otherwise, if it has been globally applied to the QApplication, it can be accessed by including <QApplication> and calling qApp->styleSheet().
This would be worth to be reported as a bug, but I don't know how to do it.