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I am working on a system that has several "date" fields, and the "Label" for it is actually a legend. When marked as "required", no red asterisk shows on the form entry. The attached is an image of the field, and then the code is as follows:
<label for="edit-field-last-name-und-0-value">Last Name <span class="form-required" title="This field is required.">*</span></label>
as opposed to:
<legend style="display: block;"><span class="fieldset-title fieldset-legend">Date of Birth </span></legend>