No. The program will send state returns that are required. This doesn't mean you may not get a letter from one of the states asking for a copy of the other state. Neither states it as required.
MO FAQ states: You must allocate your Missouri source income on Form MO-NRI and complete Form MO-1040. You must include a copy of your federal return with your state return.
IL instructions state: Include any required attachments (e.g., Schedule M, Schedule ICR, Schedule IL-E/EITC, Schedule CR, federal Form 1040 and Schedules) with your Form IL-1040.
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