Form 2.0 Validation Message

We have fields on our forms that we have as required. At the moment, if someone skips a required field and hits the submit button the only thing that happens is the box turns to a light blue color. We've had many visitors complaining because they don't know why their request is not being submitted. I've gone into the form we are using and am trying to set the Validation Message to "Custom" to see if an error message will pop up. When I choose Custom, navigate away to another field, and then come back to that field, it doesn't save. Is there something I'm missing? 

I should also mention, the form is being used on a Marketo landing page, so there's no embedding issues.