I create a protected form and tried your requirements. There is no normal way to enable track changes. But we can follow steps to achieve objective (but for same we would need protection password).
Open password protected form from Word (I used Word 2010 as I'm not having 2003 but you can get hint for same)
Go to Developer
ribbon tab, click Restrict Editing
group. A right side Restrict formatting and Editing
window opens. Click Stop Protection
button in bottom.
when asked for.
Now other options would be visible in right side window. Select Tracked Changes
from Editing Restrictions
Click Yes, Start Enforcing Protection.
Enter password twice for protection.
Now when you type or modify in form controls all would be tracked and would be highlighted by underlining along with text color set to red.
Hope this helps.