I pictured it working with the default option still being recognized but in the absence of a default option a "Please select..." line would be added as the default. And in the case of an attribute with no options the text field would work like any other required field.

This would essentially mean that using a default option and making an attribute required would serve very little purpose as it wouldn't be easily possible for them to unselect an option on that field. So perhaps setting up an attribute as required would eliminate the ability to set a default option or would simply ignore it and place a message on the admin side stating that default options are ignored for required attributes...and then it would behave as stated above in the absence of a default option.