If you want to see the gauge change I'd suggest a better border would be the Romanian-Moldova border.
If you get the Chisinau-Bucharest sleeper the change takes place in the Open at the border. You can see what is going on from the window. You can't as I recall get out during the change because it is a border and restricted area. But if you go in summer it takes place in daylight with you on the train so you can lean out and watch.
Having just gone through 'the change' last month I can confirm it is done in a large shed. The train I was on (the Paris - Moscow service) does not have opening windows and we were not allowed out, however we were not stopped from opening the doors and leaning out to take photos! You can also view (but less clearly) through the corridor connection doors (or whatever they are called).
At Chop station (Ukrainian side of Hungarian border), the bogie change takes place out in the open. When I travelled that way in 2007 we were allowed out and could observe. If I recall correctly it should be possible for a non-passenger to observe the operation. A cheap and cheerful local service (non-gauge changing) operates from Zahony in Hungary and (twice a day) from a Cierna nad Tissou in Slovakia. There is, like with Moldovo, no visa requirement.