Are you referring to the grid lines or time markers?

For time markers, do you have "Chord Follows Edit Position" enabled?

Changing time signature after midi events have been recorded will have no effect on the midi events themselves and that is normal behaviour. Expected. However midi data should still line up to the new time signature grid or grid subdivisions though if the midi data was played in with the new time signature in mind. (see Niles post below re setting up timebase display options e.g. bars instead of seconds)

What tends to happen here normally is you play midi data against the first time signature and then alter your midi playing to suit the time sig change. And back etc.. That way quantisation options are also going to work properly as well.