Hi Laura,
It appears that the s2Member validation JavaScript on your site is loading, however it appears that you’re using a custom registration page. The s2Member validation script is designed only to work on the WordPress registration page (i.e., wp-login.php?action=register) or on an s2Member Pro-Form.
If you’re creating your own registration page, you’ll need to add your own validation. With a bit of JavaScript skill, you can copy the s2Member JavaScript validation code from the ink above and port it to work with your custom registation page.