Robin,Much of this logic is in the UI specific area of the BrowseDialog which could be part of the problem. There have been a number of other posts where we have discussed this (especially on some posts asking why there is no Infragistics BrowseDialog). There is just too much logic to maintain all of these different code bases....so more than likely this is just not getting fired on the DevExpress version.
There has been a lot of UI interaction logic added that does not apply to the DevExpress version of the BrowseDialog. I will look at this later and see if this is something simple, but we have not expanded the DevExpress version of the BrowseDialog (past the inherited components) in a while and we will not make any more major changes to the DevExpress BrowseDialog...though we will support what was there and keep it running, so don't worry about that 
. But I can't make any promises on these events since these were actually implemented on the standard SF BrowseDialog.