Hi phase,
There would seem to be something wrong here, the change event is based on the slider position moving and therefore if you can see the pin being dragged whilst the mouse is down then the event should still fire irrespective of where your mouse ends up.
Is this the standard jquery slider you are using? If so, try the same test on the official demo page:
jQuery UI demo page
You will see that no matter where your mouse is the change event still fires so long as you continue to hold the mouse button down after initially clicking the pin.