TurboTax is a DIY product, that is, "do it yourself". You are responsible for checking the completeness of the return.
I assume that you are a resident of Louisiana and have Mississippi source income so you file there as a nonresident.
In the LA interview, there is a screen with the heading "Other State Tax Summary". When you complete this screen, the form R-10606 is created and attached to your LA return (assuming that it wasn't already created by the existence of the MS return).
Note that until you make entries on this screen, TurboTax has no way to know if it is required for your return, since most Louisiana taxpayers do not require this form, only the ones who pay taxes to another state.
As I noted, TurboTax is DIY software and service. TurboTax does not prepare or sign your return in the sense that we are your tax preparer.
TurboTax does offer a for fee service in which a TurboTax tax credentialed professional will prepare and sign your return, and then additional guarantees may apply. Please see TurboTax Live and ask about TurboTax preparing and signing your return ("Full Service").
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