Sophia here from Shopify. Welcome to the Shopify Community!
The option to set a product as requiring shipping is handled in the product details rather than for each variant of a product. When adding a new product or editing an existing product, you'll see a checkbox next to "This is a physical product" in the Shipping section of the product details. Make sure that the box is checked, and every variant included in that product will require shipping as a result:
If a product has some variants that need to be shipped and others that don't require shipping, I would recommend listing them as separate products instead. Let me know if you have any questions about this setting and I'd be happy to discuss it further with you.