Thank you for pointing this out. It turned out that certain type of events disappear because we replace the Form object at runtime. This is a bit of a hack and the reasons for that are out of the scope of the current post. The workaround is to change the Form object at design time in the Master Page.
Here is how you can do that:
Replace the regular form
<form id="form1" runat="server"></form>
Note that this workaround will not work for SF 3.0 Beta 2.