To reproduce:
1. Open attached project ("case_1248280.zip")
2. From Hierarchy select "playerInput" Game Object and enter Play mode
3. Wait for the Player Input component to get enabled
4. Focus the Game view window, notice under the Debug section active Control Scheme is Keyboard&Mouse
5. Use Gamepad/Joystic or other device input
6. Confirm that under the Debug section Control Scheme has changed to that device
7. Observe the Console window

Expected result: A message is printed when the Control Scheme is changed
Actual result: There are no messages printed

Reproducible in: 2019.3.15f1, 2020.1.0b10, 2020.2.0a12
Could not test in: 2018.4.23f1 (Due to errors)

Reproducible in package versions: preview.4 - 1.0.0, 1.0.0
Could not test in package versions: 0.1.2, preview.3 - 1.0.0 (Due to errors)

Note: Unsubscribing and resubscribing to the event doesn't help either