You should amend the 2014 return if you got a 2014 form 1099-R to see if you owe anything in taxes (although I doubt you will if they withheld taxes in box 4) and file the amendment if you do owe. If you would have gotten a refund instead don't bother filing the return as the deadline to get the refund has long passed which is probably why the IRS has never sent you a CP2000 notice and a bill for the taxes owed.
