The DRC follows the settings for the ERC Matrix, using the Default settings, unconnected pins are flagged as Warnings only for Input pins and Input Ports.
Open the DRC, Tools>Design Rules Check, select the ERC Matrix tab, left-click on the boxes in the the "Unconnected" row to toggle round the Warning or Error, as required, then run the DRC.
The ERC Matrix settings are stored in the Capture.ini so they will normally be installation specific.