Since you've been an Arizona resident since mid-2020, you don't need to file a Massachusetts return anytime after that. Your RSU vesting income reported on your W-2 actually belongs to Arizona since then. However, if your W-2 reports MA Income and MA Tax, you do need to file a Non-Resident state return there. You could ask your employer to withhold AZ tax going forward, or withhold no State Tax on your W-2's reporting vesting income only.
The Capital Gains may have come from the RSU vesting interview, if you completed that. You don't need to; just enter your W-2. TurboTax may have calculated your vesting income somewhat differently than what is reported on your W-2, which could account for the differences in Column A and B on your screenshot (and possibly the capital gains entry also).
You could try deleting both MA and AZ (and your entries in the RSU Vesting interview), then close TurboTax, clear your Cache and Cookies, prepare MA again, then AZ.
When you actually sell your shares and receive a 1099-B, just enter it like a regular 1099-B (adjusting for the correct Cost Basis), and say NO to 'employee stock'. Hope this helps!
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