Yeah, there was a small bug in the data-dependent-validation rule. The reason is, that data-depnendent-validation isn't really a customValidity modifier but a general property modifier, which has to be executed even if the control is invalid by another rule. (in your case group-required). I have fixed this issue (https://github.com/aFarkas/webshim/commit/7f670cf7693ab03dfc86097bda0491faf57b00ea).
But you should do it a little bit different. Instead of using data-dependent-validation='{"from": "PersonOrCostDiv2", "prop": "required", "from-prop": "value:2"}', you should simply use: data-dependent-validation="PersonOrCostDiv2". This will automatically check if the control is checked and will disable/enable the form-controls. Your HTML would look something like this (much simpler!):
<form>
<input id="PersonOrCostDiv1" class="user-success" type="radio" required="" value="1" name="Level" data-cacheval="false">
<input type="radio" id="PersonOrCostDiv2" name="Level" required="" value="2" data-cacheval="false">
<fieldset data-dependent-validation="PersonOrCostDiv2">
<input type="checkbox" value="100000001" id="checkbox-group100000001" class="group-required" data-errormessage="Please check on this group" name="SelectedCostDivisions">
<input type="checkbox" value="100000004" id="checkbox-group100000004" name="SelectedCostDivisions">
</fieldset>
<input type="submit" />
</form>
In case you don't want to update to the fixed version (It may have some bugs, because it's not a stable tested build (Note this is only fixed in master branch not the main gh-pages branch), you should remove data-dependent-validation. And disable/enable the controls or the fieldset yourself with JS depending on the checkedness of PersonOrCostDiv1. In case you use filedset:disabled, you have to use $.prop(fieldset, 'disabled', true/false) to make it work in IE. see: http://jsfiddle.net/trixta/K6nn9/).
To change the errormessage you need to either set it descriptive using the data-errormessage attribute (see html above) or with the following JS code:
webshims.ready('form-validators', function(){
webshims.customErrorMessages['group-required'].sv = "you really have to check on of these controls";
});
Feel free to ask again, if this doesn't help.