There aren't any classic user exits or BAdI's for transaction PFCG (role maintenance and profile generator), but there is a special feature, which can be interesting for you as it allows something simmilar. You can activate some "special user exits" for transaction PFCG and SU01.

Update: as of SAP Basis Release 7.31 there are new user exits (BAdI's) after change of user available (manually with transaction SU01 or through IDoc).

Consider following notes in OSS:

• 1750161 - User management: Saving additional information
• 1796501 - User management: Executing additional checks

Here the names of new BAdI's, have a look using transaction SE18:

• BADI_IDENTITY_CHECK - Check Identity
• BADI_IDENTITY_F4_AUTH_CHECK - BAdI for Authorization Checks in F4 Help Results
• BADI_IDENTITY_SU01_CREATE - SU01: Exit for creating a user
• BADI_IDENTITY_UPDATE - Update Identity

If you would like to test it, create a function which stops the processing in debugger.
See the example below (don't forget to set the appropriate 'your_user_id' in the break statement):

Assign the function to all possible exits in customizing table of Session Manager (table SSM_CUST). You can find the possible key values in table SSM_CID or use the list below.

• Z_AFTER_PROF_GEN
• Z_BEFORE_BATCH_GEN
• Z_BEFORE_PROF_GEN
• Z_EXIT_AGR_DELETE
• Z_EXIT_AGR_TRANSP
• Z_EXIT_USERS_SAVE
• Z_EXIT_USER_COPY
• Z_EXIT_USER_DELETE
• Z_FULL_USERPROF
• Z_SAVE_AUTH_DATA
• Z_SINGLE_USERPROF
• Z_USERS_TRANSFER

Use transaction PFCG and check, when the exits are called.

I have the best experience with Z_BEFORE_PROF_GEN, it stops the program here (buttons are marked with red squares):

and Z_SAVE_AUTH_DATA stops here: