Never heard of that. Are you sure you are in the Desktop program? We see people all the time that bought the Desktop program but ended up in the Online browser version. Is there a black menu bar on the left side with the menu items, Federal, State, File etc. That is Online. The Desktop program is blue across the top and the menu items like Federal, State, Review, File go across the top.
Can you post a screen shot of it saying you have to save federal online?
