The default Xml Receive pipeline does not contain the Xml Validator pipeline component. Validation against an Xml schema is only performed by the Xml Validator component.
You will need to construct a custom pipeline containing the Xml Disassembler and Xml Validator components.
If validation fails within this pipeline the default behaviour is to suspend the message. With BTS 2006 you can use the "Route failed messages" functionality to handle failures more constructively.