Because you lived in Missouri and Illinois in 2021, you would file a Part-Year return for each state. Missouri does not have a Part-Year return but allows you to file as a Resident or Nonresident. The MO-NRI was not ready a few weeks ago, so if you filed as a MO Resident you are receiving this notice now because TurboTax may not have a way to differentiate the Resident or Nonresident status.
Regardless, I recommend go to the Missouri State Department of Revenue website at Obtaining the status of your tax return to be sure you filed.
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