The server side validation has nothing to do with spry.
I will try explaining this once again:
in design view, place your cursor next to the form element and type the error message.
Highlight the error massage, then click the plus button and select Validation toolkit -> Validation Show If.
From the list of validations, select the validation that should trigger the error to display and click the plus button.
If there are multiple validations that you would like to trigger the massage, select them and click the plus button.
in other words, if you have a phone number field with Required / Not blank validation applied and Phone number validation applied, and you want the message to show if either of these fails, select them both and click the plus button.
Perhaps the Form builder documentation may help clear things up a bit.
In Dreamweaver go to Help -> CSS Form builder -> Help. Then go to Applying Manual validation -> Server Validation.
The validation message can also be set in the CSS Form Builder wizard.
In the Help documentation see the Ussing CSS Form Builder -> Editing Group Contents section.