Yes. Unfortunately, since this is an IRS reject, if their automated system says you have a 1095-A, even if you do not, you will need to do something to include form 8962 or they will keep rejecting your return.
After verifying with the Marketplace that you definitely do not have a 1095-A, you can try the $1 method as mentioned above to get your return accepted and processed by the IRS.
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