Under Stores->Configuration->General->State Options
I unselect Switzerland. Then on the checkout page, the * for required field is not there anymore but the red message "Please select an option." still appears when I try to place an order without selecting a State.
"Allow to Choose State if It is Optional for Country" set to No and the field still shows up.
By the way, it seems that at least one Country must be selected in the "State is Required for" list.