A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data.
Change
With Selection.Validation
to
With Worksheets("Sheet1").Range("A2").Validation
Though I'm not sure if you want a list, or just the last cell in column A of Sheet2 - "list source is Sheet2 last row in Column A with data"
If you only want the last filled cell in that column then you could just use a formula (assuming there are no blanks above the last value of the column):
=INDEX(Sheet2!A:A,COUNTA(Sheet2!A:A))