When a field on a marketing form is required, a Dynamics user is able to set a "Required error message" in the field properties that appears if someone tries to submit the web form without completing the field. Dynamics users are able to set the error message for most form field types. However, when setting an option set form field as required, the "Required error message" field is notably missing.

There's a workaround to manually set the error message in HTML, but its not very user friendly (see this post).

Users should be able to specify the "Required error message" in the field properties for all field types, including option sets.