There is no event for that what I know of. One possibility might be to modify the access right dialogs in edit and admin mode.
In EPiServer 7 there is an IContentSecurityRepository (that you can get hold of via ServiceLocator) that has a ContentSecuritySaved event.
@Per. Really nice to know.
How can I get notified that a page's ACL settings has been notified ? Is there an event or some other workaround I can use to determine changes to ACL on a page?