It's not really known whether or not Bob's photon actually changes, or whether it's simply been in the same state as Alice's photon all along. If it changes that would imply that the information moved faster than the speed of light, which poses problems under current models. If it's been that way all along, the only thing that changes is that Alice now knows what state it's in.
In either case, Alice can tell Bob which quantum operation to perform on the entangled photon to determine the state of Alice's original photon. Intercepting this would tell you nothing unless you have one of the entangled photons, since the state of Alice's entangled photon is assumed to be random when she measures it. Bob's entangled photon has the same quantum state as Alice's does, and when he performs the correct operation, he finds the state of the original qubit.
I assume there must be some way to determine whether both Alice and Bob have an entangled pair of photons before Alice transmits which transformation Bob should use. Otherwise, it seems like someone could intercept an entangled photon intended for Bob and also intercept the transmission where Alice reveals which transformation will yield the encoded qubit.