As per the manual:
"On text changed
Triggered whenever the text in the field is modified, by typing, backspace/delete, cut/paste etc."
You have to manually change it by adding input, like R0J0hound said. It's not intended to work if you are simply setting text via events.
You can probably get around that by updating a variable along with setting the textbox text, and then play the sound when the variable changes.