From Junichi:

Thanks Alex and Andras for your advices. They helped me confirmed that I called
SetAndObserveNthNodeReferenceID() correctly.

However, I noticed that I had added the reference node using AddAndObserveNodeReferenceID()
before I called SetAndObserveNthNodeReferenceID(). If I don't call AddAndObserveNodeReferenceID(),
ProcessMRMLEvents() is called as I expected.

This makes me wonder if SetAndObserveNthNodeReferenceID() can set events
for a node which has already been added as a reference node.
The following is what I tried on 3D Slicer downloaded and built in this morning:

Case 1: Call only SetAndObserveNodeReferenceID() (Working)

1. Launch 3D Slicer
2. Download MR Head example
3. Open Transforms and create a linear transform node
4. Open Python Interactor and type the following commands:

   scene = slicer.mrmlScene
   inode = scene.GetNodeByID('vtkMRMLScalarVolumeNode2')
   event = vtk.vtkIntArray()
   event.InsertNextValue(slicer.vtkMRMLTransformableNode.TransformModifiedEvent)
   0L
   inode.SetAndObserveNodeReferenceID('transform', 'vtkMRMLLinearTransformNode4', event)
   (vtkMRMLLinearTransformNode)0x14886e628

5. Open Transforms and keep updating the transform. You should see the image is moving.

Case 2: Call SetAndObserveNodeReferenceID() after AddAndObserveNodeReferenceID()
(I'm not sure if Slicer is supposed to behave like this)

1. Launch 3D Slicer
2. Download MR Head example
3. Open Transforms and create a linear transform node
4. Open Python Interactor and type the following commands:

   scene = slicer.mrmlScene
   inode = scene.GetNodeByID('vtkMRMLScalarVolumeNode2')
   event = vtk.vtkIntArray()
   event.InsertNextValue(slicer.vtkMRMLTransformableNode.TransformModifiedEvent)
   0L
   inode.AddAndObserveNodeReferenceID('transform', 'vtkMRMLLinearTransformNode4')
   (vtkMRMLLinearTransformNode)0x148745628
   inode.GetNthNodeReferenceID('transform', 0)
   'vtkMRMLLinearTransformNode4'
   inode.SetAndObserveNthNodeReferenceID('transform', 0, 'vtkMRMLLinearTransformNode4', event)
   (vtkMRMLLinearTransformNode)0x148745730

5. Open Transforms and update the transform. The image does not move.
6. You can also confirm that the image node is not receiving TransformModifiedEvent from
   the linear transform node using EventBroker.

Thanks for your help!