I was running into this issue as well. You need to create a new SqlDependency entity (after unsubscribing the existing one from the OnChange event) and then run a new ExecuteReader command. I got the idea from this post:
http://www.codeproject.com/Articles/12335/Using-SqlDependency-for-data-change-events
This usually makes sense, as once you have been notified of a change you will normally want to re-query the data.