Hi oldradio99,
Its InfoPath UI bug, if you want you can put a rule, or a conditional format for showing combo box with different color. But even the form will submit with empty character.
To avoid submitting put a condition that if the combo box is blank then disable the submitting button. If you want to see the errors then go to Tools -> Go to Next error menu. If you mention this info near the submitting button user can understand easily.
Hope this will help you.
B.Shiva Prasad
InfoPath Dev,
http://www.ggktech.com
India