Make Shipping Method fields Mandatory on Woocommerce checkout page

Solution:

The following code will output an error message on checkout page, if no shipping method has been chosen when submitting the order:

// Validate shipping method fields and returning an error if none is choosed
add_action( 'woocommerce_checkout_process', 'shipping_method_validation', 20 );
function shipping_method_validation() {
    if ( ! isset( $_POST['shipping_method[0]'] ) ){
        wc_add_notice( __( "You need to choose your a shipping option.", "woocommerce" ), 'error' );
    }
}

Code goes in function.php file of your active child theme (or active theme). Tested and works.