Gravity Form fields can easily be configured to require a user response. (Link to Required Field documentation) Requiring a response in the drop-down field, however, is not quite as straightforward as other field types. The problem is that the drop-down field automatically selects the first option, and the form submission process cannot distinguish between the default selection and the user selecting the first option.
Luckily, there is a straightforward fix for this. All you need to do is add a Placeholder to the field. You can add this on the "Appearance" tab of the Drop Down field options (see screen cap on right). This effectively adds a placeholder selection as the very first option in the drop-down list. The difference is that a value behind the selection is not present. This is an essential component to a required field. If the user does not select a new option, the required field will fail and the form will not be submitted until this is corrected.
For a working example of this, please see the Required Drop Down Field Example. There are two required fields on this form. The first does not utilize a placeholder. Notice that it passes the required field test even if a selection is not made. The second drop down does utilize a placeholder. This will always fail until the user makes a selection.