this modification worked for me.

Option Explicit

Private Sub Worksheet_SelectionChange(ByVal Target As Range)
Dim strTitle As String
Dim strMsg As String
Dim sTemp As Shape
Dim ws As Worksheet
   Application.EnableEvents = False
Set ws = ActiveSheet
Set sTemp = ws.Shapes("txtInputMsg")
On Error GoTo errHandler
 If Intersect(Target(1), ws.Cells.SpecialCells(xlCellTypeAllValidation)) Is
Nothing Then
  sTemp.TextFrame.Characters.Text = ""
  sTemp.Visible = msoFalse
 Else
   If Target(1).Validation.InputTitle <> "" Or _
         Target(1).Validation.InputMessage <> "" Then
     strTitle = Target.Validation.InputTitle & Chr(10)
     strMsg = Target(1).Validation.InputMessage
     With sTemp.TextFrame
       .Characters.Text = strTitle & strMsg
       .Characters.Font.Bold = False
       .Characters(1, Len(strTitle)).Font.Bold = True
     End With
     sTemp.Visible = msoTrue
   Else
     sTemp.TextFrame.Characters.Text = ""
     sTemp.Visible = msoFalse
   End If
 End If
errHandler:
 Application.EnableEvents = True

End Sub

I see. When I merge two cells the validation seems to be accross both. With
the merged cells selected, click Data/Validation an dyou'll get a warning:
"The Selection contains some cells without data Validation Settings. ...."
Click YES to extend the rule.
You will find that the text boxes will work on these cells too now.