What I think you have done is set that size option to "Display Only".
The Display Only feature is a clever way of forcing a customer to make a valid choice, in a drop-down selection - but you've made a small error.
You have correctly set up:
OPTION NAME: Sizes
... and the associated OPTION VALUES:
Size 1
Size 2
Size 3
Size 4
Size 5
Size 6
Size 7
Now, NONE of these above values must be display only...
You need to set up another option value called: Choose Your Size...
and aplly this option to all your shoes' attributes, and you make THIS option "Display Only" and the "default choice", so your dropdown will look like:
Where Choose Your Size will be the default displayed - and as it's "Display Only", if the customer does not make a choice, they will get the alert message...