So, the asterisk that is showing - that is considered an error. But since the SONumber field is not being changed, your validation message is not popping up. If what you'd like to do is have that validation error display when the Submit button is clicked you could do something with rules for your submit (instead of submitting directly to a data connection, submit via rules).
If OrdType = 2 and SONumber is blank, you could display a message box (if a Filler form) or, if this is a browser form you could use some conditional formatting to show or hide a calculated value. I think if you set the SONumber and then clear it in rules, you may get a validation box - so that might be worth trying as well. You could also then add a condition to not submit the form if OrdType = 2 and SONumber is blank, to prevent the generic error from displaying.
Of course, if you want the validation warning to show as soon as OrdType is selected, you can also add the validation to that field.