Here's why:
* "You have to send us" is a grammatically correct phrase, but it's incomplete. It needs an object to tell us what we have to send.
* "Anything, or nothing?" This is a grammatically correct phrase, but it doesn't make sense on its own.
* "Do you have to send us anything, or nothing?" This is the correct way to phrase the question. It uses the auxiliary verb "do" to form a question and makes sense in context.
The original phrase was grammatically incorrect because it was missing a verb to connect the two parts of the sentence.