Do not file an amended return if your federal refund is under review. You don't know what, if anything, is wrong, so there is no way to know what to amend.
The IRS says:
We select some returns to examine so we can determine whether income, expenses, and credits are reported correctly. This doesn’t mean you made an error or were dishonest.
We’re verifying your income, income tax withholding, tax credits and/or business income.
See Understanding Your CP05 Notice
If the IRS does make any changes, then you may have to file an amended state return.
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