Since the native select menu is used as a proxy for the custom select, you can watch for events on the original, native select instead of needing to go through the select menu plugin. Bind to the change event by type: change, blur, focus, keypress, click, etc.
$( ".selector" ).bind( "change", function(event, ui) { ... });
The select menu plugin has the following custom events:
create
This event is used to find out when a custom select was created. It is not used to create a custom select. The select create event can be used like this:
$( ".selector" ).selectmenu({ create: function(event, ui) { ... } });