Yeah, and if there was a way to do it, Greg would know - he's a l33t haxzor. HaHa.
Anyway - try using code - when your user presses "submit" have code run through all the fields that need to be formatted a specific way, and if one is not formatted correctly, abort submission, pop-up message that tells user to go back to the field and change the format. This is not InfoPath Data Validation persay, but it accomplishes the same thing.
Specifically, check out the onSubmitRequest() event. Put your code in there, and if something isn't how you want it, just abort the submission.
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Matt Faus
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge