The event will fire only under certain conditions, mostly when moving to controls on the same form. In the IDE, when stepping through code, you may never see it fire, or it may never fire at all, or fire when you didn't expect it.
If you want a more sure way to validate a control, then use the validation event and make sure all other controls have the property "CauseValidation" set to true. Even then, the cause validation event may not fire, especially when clicking another form or the MDI form menu or tool bar - this is not just by design - but a must. I wouldn't expect, or even want it to be different.