I configured a project type which cannot be a top-level project type because our enterprise project hierarchy then I created a Project Request type of this project type but when the users submit  a project request of this project type (click Save) they got a warning message at the top of the window that says "An Error occured while saving the project request Workspaces of type  <Project Type> may not be top-level workspaces" but don't they should be able to save the project request without check the box of the "This project type can be a top-level project" option???????'

I was finally able to test this, and I'm not sure what's happening here - it should allow you to save the Project Request regardless of the Project Type hierarchy rules.  Please open a support case so we can investigate this properly, but in the meantime you can modify the Project Type to allow projects to be top-level projects.  Just be sure to educate the people who will be generating projects about selecting the correct parent project and monitor new projects being created to ensure they're being created under the correct projects.

Out of curiosity, are you also using the Project Request web forms?  It would be interesting to see if the web form would allow the Project Request to be created, or if it produces the same error.