To add more information, below are the key/value pairs captured in e:

{[isTrusted, ValueKind = True : “True”]}
{[type, ValueKind = String : “change”]}
{[target, ValueKind = Object : “{“id”:””}”]}
{[currentTarget, null]}
{[eventPhase, ValueKind = Number : “0”]}
{[bubbles, ValueKind = True : “True”]}
{[cancelable, ValueKind = False : “False”]}
{[defaultPrevented, ValueKind = False : “False”]}
{[composed, ValueKind = False : “False”]}
{[timeStamp, ValueKind = Number : “11000.399999976158”]}
{[srcElement, ValueKind = Object : “{“id”:””}”]}
{[returnValue, ValueKind = True : “True”]}
{[cancelBubble, ValueKind = False : “False”]}
{[NONE, ValueKind = Number : “0”]}
{[CAPTURING_PHASE, ValueKind = Number : “1”]}
{[AT_TARGET, ValueKind = Number : “2”]}
{[BUBBLING_PHASE, ValueKind = Number : “3”]}
{[composedPath, ValueKind = Object : “{}”]}
{[initEvent, ValueKind = Object : “{}”]}
{[preventDefault, ValueKind = Object : “{}”]}
{[stopImmediatePropagation, ValueKind = Object : “{}”]}
{[stopPropagation, ValueKind = Object : “{}”]}

Thanks for your help, I was able to get it working that way. I would suggest that the API docs be updated as it appears to suggest that the value should be in the event:
<table class=”table”>
<tbody>
<tr>
<td>OnChange</td>
<td>EventCallback<Event></td>
<td>This event is triggered when the selection is changed.</td>
<td>string label- The label of the new selected item., dynamic oldLabel- The label of the item that was previously selected before the event was triggered., dynamic oldValue- The value of the item that was previously selected before the event was triggered., dynamic value- The value of the new selected item.</td>
</tr>
</tbody>
</table>