The validation would not take place until the very end, when the form is submitted. That's how validation works.
The way the ShoppingCart is set up, only authenticated (logged-in) users can get to the shipping address step. If they leave the shipping fields blank, the fields are automatically filled in from their profile data.
If they leave the fields blank AND they have no data in their profile, and then try to submit the order, you should see the validation kick in at that point.