Ok, but ...
Well I looked up the document where DA describes the differences between server and client validation. I have not looked into spry validation yet, but thanks for the hint.
I need to check the selection of a menu / list form element and afaik this is not covered by server side validation.
So, what I did until this, I used an old (2002) but nice extension from Yaromat which is free and does an excellent job in client validation.
It checks if the list/menu has been selected by "any but the first entry" which is useful if your first entry is something static like "select please".
In the meantime I used DA Client validation on a very basic html form and it still did not work at all.
This is actually the sample file from WA and it can be sent without filling any field.