the itemClick event will not be fired if style is set to "VisualStudio2005Toolbox".
and StyleChanged Event is never fired
ItemClick is not supposed to fire for items whose style resolves to 'StateButton', which is the default item style for VSToolBox. The ItemCheckStateChanged event fires for state buttons. You can change the item style if you want via the UltraExplorerBar.ItemSettings.Style property.
poor attitude. in my opinion it's a bug.