How do you setup Service API (on the same site or on a separate site), and how do you listen to events?

We are running the Service API on the same site and we listen to the events like this. It works fine when we do "manually" updates in the catalog.

[ServiceConfiguration(typeof(ContentEventIndexMediator), Lifecycle = ServiceInstanceScope.Singleton)]
public class ContentEventIndexMediator
{
        private readonly IContentEvents _contentEvents;
        ...
        private readonly ISettingsService _settingsService;

        public ContentEventIndexMediator(
            IContentEvents contentEvents,
            ...,
            ISettingsService settingsService)
        {
            _contentEvents = contentEvents;
            ...,
            _settingsService = settingsService;
        }

        public void AddContentEvents()
        {
            bool indexingIsEnabled = _settingsService.GetSettingAsBool("indexing:enable-content-events");
            if (indexingIsEnabled)
            {
                _contentEvents.PublishedContent += UpdateIndex;
                _contentEvents.DeletedContent += DeleteFromIndex;
                _contentEvents.MovedContent += MovedContent;
            }

            _contentSecurityRepository.ContentSecuritySaved += UpdateIndex;
        }
        ...
}

Yes it should fire content events. I'm not sure why it does not in your case. please reach out to developer support service for further assistance. 

Optimizely Support wrote the following, hence the conclusion is, that we should use the same approach as in Content Events (Commerce 10) and Service API (3) | Optimizely Dev, meaning we should use EventContext.EntryUpdated.

When using bulk import with XML file, it would be the same when you import catalog in Commerce Manager
https://webhelp.optimizely.com/19-6/en/commerce/catalog-management/importing-and-exporting-a-catalog.htm
Service API just is a wrapper in this case, and as it's the legacy system Commerce Manager, we don't change it to use IContentRepository
 
About the changes in Service API 5.2, it's actually for Get, Post, Put, Delete API not for the import

Yeah if you were using the catalog import API then it's (Still) only low level events. Only when you use the CRUD APIs, content events can be used.