Dear Thomas,
Yes, I have updated the validation CSS with the one below in your test site:
.MyZebra_Form span.myzebra-required {
color: #C40000;
margin-left: 5px;
font-size: 110%;
font-weight: bold
}
.MyZebra_Form_error_message {
position: absolute;
z-index: 21;
overflow: hidden;
background: transparent;
}
.MyZebra_Form_error_message .myzebra-message {
background: #000;
padding: 10px 18px 10px 10px;
color: #FFF;
line-height: 1em;
font-size: 11px;
font-weight: normal;
margin-right: 6px;
position: relative;
-webkit-border-radius: 5px;
-moz-border-radius: 5px;
border-radius: 5px;
-webkit-box-shadow: 2px 2px 6px rgba(0,0,0,0.6);
-moz-box-shadow: 2px 2px 6px rgba(0,0,0,0.6);
box-shadow: 2px 2px 6px rgba(0,0,0,0.6);
*margin-right: 0;
max-width: 250px;
_width:expression(document.body.clientWidth > 250 ? '250px': 'auto'); /* max-width for IE6 */
}
.MyZebra_Form_error_message .myzebra-noclose { padding: 10px }
.MyZebra_Form_error_message .myzebra-close {
position: absolute;
color: #FFF;
right: 5px;
top: 4px;
display: block;
width: 10px;
height: 10px;
background: url('close.png');
text-indent: -9000px;
overflow: hidden;
*right: 3px;
*top: 3px;
}
The original styling does not include an "X" on it. You can confirm this with a fresh installation of CRED. SInce you have disabled the zebra styling globally via functions.php. In order to show required messages, you need to paste the above CSS manually to every form you need to show required messages.
You can find this CSS by going to CRED -> click any of your forms -> scroll down and find "CSS und Javascript für dieses Formular" and in the CSS box, you can see the above code. Please let me know how it goes. Thanks 
Cheers,
Emerson