Do I need to send in an additional state form if it is included in what was E-filed?

Which state?  Did it tell you to mail something in?

Colorado and it was around Colorado Source Capital Gain Subtraction: DR1316. Form was included in Efile package so was unclear as to why it would also need to be mailed in

Depending on the instructions on your screen, you may need to mail in an additional form to the state.  Sometimes a state will request the paper copy of a 1099R or other form.  If you need to send this, TurboTax would have prompted you to mail this in.  If TurboTax did prompt you to mail it in, then yes, you need to send it.