There are some rare instances where the onContextChange event doesn't fire correctly and can cause undesired behavior. One such instance we noticed is when trying to implement our view performance trick described here: http://www.infopathdev.com/blogs/agni/archive/2006/04/24/Improve-Rendering-Performance-for-a-Slow-View.aspx.
In that the event doesn't fire until you click on the open InfoPath window.
We have worked with Microsoft on this issue and they have released a hotfix for it here: http://support.microsoft.com/default.aspx/kb/939187/ which you will need to request from Microsoft.
Shiraz Cupala / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge