Thanks @mesquitebean for your response. I'm using Acrobat Reader DC, and looking at 2 different PDFs of my 2020 return. One is the very basic PDF that you can get without using the "Add a State" trick. That version has no TurboTax branded cover sheet or anything like that. Just the official tax forms. BUT, it does have bookmarks.
The other, much more extensive PDF that I downloaded after clicking on "Add a State" etc. has no bookmarks. On the left bar shown in your screenshot, when I click on the tab of the much longer PDF, the bookmarks icon disappears from the left bar.
The PDF of my 2019 return has both the cover sheets and all of the worksheets, AND bookmarks. Very puzzling.
