This is standard infopath error notification mechanism(if form is opened in browser). This message means that value for one of your field is empty(or some invalid values as message says). Required field indicates with red star by default. But you can customize tool tip for required field and apply some formatting if field is empty (for example red background if field value is empty).
To do this, you need to uncheck "Cannnot be blank " settings for control and then add custom rule: Home ribbon tab, Rules-> Ad Rule->Is Blank->Show Validation Message or\and Formatting(bad). Two rules will be added to our field, in rule settings you can specify what formatting to apply and validation screen tip.