Hi, Andrei,
Thank you for the great description and the screenshot to illustrate your case.
To get the desired result, follow the same validation principles in MVC as you do without the Kendo UI Validator. The built-in validation attributes are taken from the model. To supply a custom required message and a human friendly property name, add it in the model attributes:
[Required]
[Display(Name = "Pool Name")]
public int ForeignColumnId { get; set; }

Or if you prefer, provide your own custom required message:
[Required(ErrorMessage = "My custom error message!")]
public int ForeignColumnId { get; set; }

For the built-in "The field must be a number." message, things are more complicated as explained in this SO thread:
https://stackoverflow.com/questions/4828297/how-to-change-data-val-number-message-validation-in-mvc-while-it-is-generated
However, it seems that you can easily override the message via HtmlAttributes as this poster suggests:
@model object
@(Html.Kendo().ComboBoxFor(m => m)
.BindTo((SelectList)ViewData[ViewData.TemplateInfo.GetFullHtmlFieldName("") + "_Data"])
.HtmlAttributes(new { data_val_number="Supply a valid code!" })
)

Kind Regards,
Alex Hajigeorgieva
Progress Telerik