jQuery Combobox is very complex so I don't use it, and I'm guessing a bit about the behavior you want, but that said, here goes.
My guess about the behavior you want to create is the following. If the user selects something and then goes back and selects something else, an alert should fire. If that's correct, the logic has to be inside the select: option function, not in a change: option. So you could put the user selection in a hidden input and test if the user selection in the visible input box is the same or different from the hidden input. You may have to exclude the initial null in the input box test.
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