Is something in the parent hierarchy DataBinding and if so: does it databind on postbacks as well as the initial request? If not I would guess that it might have to to with the page life cycle and when the dynamic content is populated. If you can't solve it , please register a bug with support and we'll have to investigate it more.
I've just noticed something peculiar. I created a dynamic content user control with some dropdowns in it that have AutoPostBack set to true. If I include this dynamic content on a page and select a new value in a dropdown, a postback occurs but the OnSelectedIndexChanged event won't fire.
However, if I insert the same user control in the page template directly (as opposed to through dynamic content) the event wiring works like intended and the event handler fires properly.