There is a known limitation of the ValidatorCallout:
"The callouts do not currently display automatically after a server post-back and will only work for custom validators which utilize client-side validation. Even after a post-back the callout will display when the form is re-validated when a postback is attempted again."
This is somewhat limiting, as all of the other Validation controls show the ValidatorCallout when the user tabs off of them - when you use a CustomValidator, you have to wait for the page to be submitted before the ValidatorCallout does it's job.
As this is a known issue, it is probably being worked on anyway, but I thought I would post this in case someone else ran into this limitation.
"The callouts do not currently display automatically after a server post-back and will only work for custom validators which utilize client-side validation. Even after a post-back the callout will display when the form is re-validated when a postback is attempted again."
This is somewhat limiting, as all of the other Validation controls show the ValidatorCallout when the user tabs off of them - when you use a CustomValidator, you have to wait for the page to be submitted before the ValidatorCallout does it's job.
As this is a known issue, it is probably being worked on anyway, but I thought I would post this in case someone else ran into this limitation.