Not necessarily, it generally means the IRS is standardly reviewing your return. If something is needed or missing, they will send you a letter indicating what they need.. see below for more details... Hope this helps..
There is a number of reasons why a refund would be place under review.
Process taking longer than normal (Typical)
Review for amendment and information (Usual)
More information is needed (If this is the case it will be clearly stated in the letter or notification)
If the status has changed from "Under review" to "Your return has not yet been processed", it indicates they have completed the review and have sent your return to be processed. They haven't, however, completed the processing.
For a precise answer, you would have to contact you state's Department of Revenue Services for an explanation.