I have usually seen this caused by a page lifecycle problem. If the control is only created when an event is fired, then when your index changed event fires the control doesn't exist to bind it to on the postback.
Example:
- MyEvent fires. Drop-down created. Event Handler specified.
- Index Changed event triggered. Page reloads. Drop-down not found, cannot fire.
You have to ensure the drop-down is created before .NET attemps to handle the event.
