You really do need to speak with someone knowledgeable at the agency (or a qualified professional with whom the agency consults). There are certainly others who are similarly situated and it would be instructive to learn how those people are handling state tax reporting.
The ultimate arbiter here is going to be the taxing authorities in each state in which the companies are located. If one, or more, take the position that the agency is nothing more than a pass-through and you actually work directly for the companies, that will present an issue.
