@Gotterkraft In the case of a PDF form, you can apply a validation pattern or script to each check boxes and drop downs as per your requirement and then configure how Acrobat will display the validation error message box. I am not sure if this can be done for specific fields OOTB but you can add message box script after validating those specific fields.
But OOTB, in Designer:
Select File > Form Properties and click Form Validation.
Under List of Options, click Show Dialog Message.
Select Configure How Acrobat Displays Validation Messages Boxes and select "Combine The Messages Of All The Failed Fields Into One Message Box"
Click OK. Just make sure that the required fields are configured to be validated before changing the below Form validation options.