http://msdn.microsoft.com/en-us/library/system.web.ui.webcontrols.customvalidator.aspx

How annoying, “If the input control is empty, no validation functions are called and validation succeeds. Use a RequiredFieldValidator control to require the user to enter data in the input control. ”

The missing parameter you need to set is ValidateEmptyText=”true”.

Wasted a good half hour finding that little oddity.