It doesn't make any sense in the context of mail merge. Mail merge draws information from an external data source, such as Excel, to fill the fields, so user selection is not involved.
Mailmerge with Word 2007/2010. As I said in my last post mail merge and form fields are mutually exclusive.
If you are really talking about a form, then legacy form fields including dropdown form fields are shaded if that option is set, but it is a Word option and not a document option, so users can choose not to display shading.
You can only validate a dropdown form field using macros and then if you have a default value that is not a required selection. You cannot force users to run macros, so that creates another issue.
Content controls create similar issues, but are not subject to field shading.