Is the shipping method selection mandatory in the checkout?

Every order - even if it's a digital product or otherwise does not require physical shipping - requires a shipping method to be chosen. However, you can configure if the shipping method step is shown based on the Delivery Type. 

The options are to to always show the step, never show the step, or make it depend on how many options are available for the customer to choose with their order.

The checkout automatically selects the first shipping method that is available, no matter how you configure the delivery type.

Because the shipping step is configured by delivery type, you can set different strategies for different types of products. You may for example hide the shipping step for digital products (vouchers, ebooks), while setting it to "depends" for physical products.