It doesn’t work the way you’re trying to use it.
The choices field does not allow you to enter a empty value.
When you set Allow null to No ACF does not add a - Select - item so that a value is always selected. You can set the default if you don’t want the first one selected.
When you set Allow null to Yes ACF does add a - Select - item so that the user does not need to select a value.
There have been some discussions in the past here about using an acf/load_field filter to alter the selections to include a null/empty value when a field is required, but I’ve been looking for it and could not find it. You could try that, see http://www.advancedcustomfields.com/resources/dynamically-populate-a-select-fields-choices/
