Use this to modify the Validation.ErrorTemplate
<ControlTemplate x:Key="ComboBoxValidationErrorTemplate">
<DockPanel>
<Border BorderBrush="Blue" BorderThickness="4">
<AdornedElementPlaceholder />
</Border>
</DockPanel>
</ControlTemplate>
And then use it in your ComboBox like
<ComboBox Validation.ErrorTemplate="{StaticResource ComboBoxValidationErrorTemplate}"
...>
To have no indication of a Validation Error, remove the DockPanel, set Visibility to Collapsed or any other way you like.
Almost forgot, probably the easiest way to remove the “Red Border”
<ComboBox Validation.ErrorTemplate="{x:Null}"
...>