I have a Silverlight 2 application that is consuming a WCF service. As such, it uses asynchronous callbacks for all the calls to the methods of the service. If the service
I check the Error property of the event args in the service method completed event handler. I haven't had issues with the event handler not being called. In the case where the server goes down, the call takes a few seconds then comes back with a ProtocolException in the Error property.
Assuming you have tried this and your callback really never gets called, you might look into customizing the generated proxy class. See this article.