Do new small plan audit rules apply to plans that file a Form 5500-EZ?

No.

If an employer who files 5500-EZ subsequently has an employee who joins the Plan, then I think the Plan is instantly subject to these rules and must have a bond for the non-qualifying assets unless 95% of the assets are qualified. I can foresee difficulty where employee data is not collected until the end of the year to determine who was eligible to join the plan during that year...When must the bond be purchased in this case to meet the requirements?

The percentage of qualifying assets is fixed or estimated as of the first day of the plan year, based upon the assets on the last day of the prior plan year. The DOL actually recognizes that this is, administratively, usually impossible. So you can make a "good faith estimate" and document how you made the estimate! I think one could very reasonably argue that if someone becomes eligible during the year on a plan that previously filed an EZ, the requirements wouldn't apply until the next year. However, I agree with Lynn that the conservative (and safest) approach would be to consider the requirements as applying immediately.