Yes, you should have your employer withhold Massachusetts tax on your remote work compensation.
You can file a non-resident Connecticut state tax return to get the tax withheld refunded.
According to the state of Connecticut:
“Example: Working solely outside Connecticut: A resident of New York works in New York for an employer whose main office, including the payroll department, is located in Connecticut. The employer is not required to withhold Connecticut income tax even though payment is made from a point in Connecticut, because the employee is a nonresident and performs all services outside Connecticut.”
State of Connecticut Department of Revenue
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