You are doing nothing wrong. Sadly, I have checked the source code and the original developer has not added a check for the required() function in the Scrolling window change script that does the saving.
So while you have correctly made the field required, there is nothing in the code to enforce the required fields.
You can use GP Power Tools Developer Tools to add a check for required fields and abort the save with the appropriate error message.
[Edit] I have passed the details of this bug back to Microsoft.
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