Same here.. I've always needed this - Some way to be notified of role changes.
The reason is that not all roles are for portal security; many of them are for external things like accounting, training, events, or whatever. In fact, the only role that I don't need to know about is the newsletter subscription.. everything else I need to know immediately.
Perhaps this is an opportunity for an enterprising developer to make a new module?.. in fact I know just who to ask, and I'll go do it now.
Rob