Data Validation issue - alert when cell is blank

I'm using 2007. . .

I'm having trouble with what seems like it should be easy and straight-forward but it's not working like I expect...and internet searches have left me even more confused.

I simply want to prevent users from leaving cells blanks in cells that contain a defined dropdown list. The dropdown list does not contain any blank cells.

In the Setting tabs of the Data Validation box:

I am "allowing" a List
I have "Ignore Blanks" unchecked
I have "In-cell dropdown" checked.

In the Error Alert tab of the Data Validation box:

I have the "Show error alert...entered" checked.

Why don't I get the error alert when a cell with a dropdown list designated is left blank.

Thanks in advance for your help,
Aaron