The Client validations use a standard javascript alert box to show errors
The javascript alert box does not allow for styling of the text.
If you want control over the client side error message styling, use the Spry Validation included with dreamweaver:
http://help.adobe.com/en_US/dreamweaver/cs/using/WSC0A9CA2A-E807-441a-ACC2-7B5E7A503C74a.html
as part of Design Extender, we offer the validation Tool Tips For Spry extension wich allows you to convert the spry errors to tooltips.