There are two ways that validation rules notify users about a validation error — Screen Tips and dialog boxes.A Screen Tip is always be associated with a validation error and appears when the user moves the mouse cursor over a control with a validation rule associated with it.

Even when this option is selected, dialog box messages are not shown automatically when filling out forms in a Web browser.

This displays the Data Entry Pattern dialog box from which you can select from several pre-defined, standard patterns.

You can also specify an additional dialog box message to be displayed when users enter invalid data.

By default, dialog boxes only appear when a user right-clicks a control with a validation error and then clicks Full error description in Info Path Filler or clicks on the link in the validation Screen Tip in a Web browser.

You could however create a method that calls all field validation events before you submit the form.

To create a validation event for a field you simply select the field in Info Path - click the "Developer" Ribbon - Validating Event and it automatically registers the event in your Form Code.

In that case the user gets a validation error, as expected, but when they click to confirm, the form closes and they lose their work.

Can't find any easy way around this (Which seems like a common scenario to me) Is there any way to call some sort of global validation event?

You can also configure the rule to display the dialog box automatically.