OK - Done some experiments. You need to define an update policy for the scaling group. By defining an update policy, any change in the launch configuration will then trigger an update. Without this - an update won't be triggered.
You don't need an ELB in order to trigger the rolling update, but if you have one, it also won't interfere with it.
http://docs.aws.amazon.com/AWSCloudFormation/latest/UserGuide/aws-attribute-updatepolicy.html