I had the same problem ...
and to solve this, use the Validation Rules on the form.

For example:

Approver=="Rejected" && isNullOrEmpty(CommentField)

This is to give you an idea
The "Approver" and "CommentField" need to be changed to your naming conventions.

JazakAllah for ur answer, since I have multiple forms I cannot go for that solution. This capability is builtin by Nintex as seen in the screen but not working.

Selam.

The function as seen in screen, indeed, does not work I had same experience. Although you set to "Required" the validation does not work ... and that is why I used a Validation Rule within the form.

You need to open the approval section in nintex and add the RULE.

JazakAllah