I have a textbox and a button.
When I click the button, it sets certain value in the textbox.
I want to submit the page whenever the value of the textbox is changed.
Programmatically changing the value of an input doesn't fire its change event. You'll have to do that yourself using .trigger('change') (or just .change()) at the same time as changing its value:
$('.set').val('Why am I not getting the alert saying - Changed! ').trigger('change');