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.
Thats easy to say when you see simple capx example
hard to implement in ready project
If you know how do it without manually typing im rescued