this can be done for the server validation error messages, but not the spry validation ones.
type your error next to the submit button, then select it, go to webassist -> Forms -> Validation -> Validation Show If. for the Validations Fail condition, select All.
"Like what div do I select to add the behavior to?"
when applying the set entire form from cookie, select the form tag.
"If I "Store complete form in a cookie" I suppose I want to also add the behavior to "Set Entire form from cookie" as well?"
you can if you like, but you don't have to.