That's correct. You don't consider state taxes paid on investment income as being directly connected with the production of unearned income.
As Directly connected in the Instructions for Form 8615 states:
Itemized deductions are directly connected with the production of unearned income if they are for expenses to produce or collect taxable income or to manage, conserve, or maintain property held for producing income.
Taxes on unearned income aren't expenses paid to produce or collect taxable income, and they're not needed to manage, conserve or maintain income-producing property.
