Hi Ravi,
certainly not the best solution, but you can change the file <moodle-root>/glossary/edit_form.php.
In line 56 or so (after $categoriesEl->setSize(5);) you may add:
$mform->addRule('categories', null, 'required', null, 'client');
If you do so the field becomes compulsory. Of course you have to repeat that in case
of updates.....
very dirty ... but obviously one of Moodle's many weakness'. I guess many people would like to configure
it that way or similarly ... me inclusive.
Cheers,
Sonja