A required element must be have one option selected by the user before the form can be submitted.
Making an element required
Dropdown Menu → Settings
Tick the box at the Required field to make it required. You should also add a new first option to the options list with an empty value, this ensures that the user must pick a value. To do this, tick Customize values below the options, for the first option enter a Label such as Please select and empty the Value field next to it.
Required error message
Dropdown Menu → Settings → Optional
Change the required error message by entering text into the Error message if required field.
Required indicator text
Settings → Style → Labels
Change the text indicating the element is required. By default this is (required), but you may want to make it an asterisk * for example.