When modifying a 2008 R2 only GPO setting it does not display the change in Change Auditor
This is caused because by default the Group Policy Management Console (GPMC) connects to the PDC Emulator. If this role is on a server 2003 DC it does not see the 2008 R2 policy because it does not exist on this server.
In GPMC connect direct to a server 2008 R2 DC and make the change
Move the FSMO roles over to a server 2008 R2 DC (if the are moved it will always default to this and the change will never be missed)