There are two places to verify your active military status is properly shown. The first one is in "My Info" as you have mentioned. The second is after entering your active duty military form W2 in the federal interview you will arrive a page asking about "Uncommon Situations."
One of the items in that list is "Active Duty Military Pay." You need to check that item.
With those two places checked in the federal interview, the NE form 1040N should update to show the "Active Military" box checked.
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