As of today, MD still is saying that yes, you do, on their website.
Form 502D may be filed by taxpayers who are required to complete an income tax return if their gross income is more than $500 in excess of their withholding.
Taxpayers who received more than $500 of income from sources like prizes, awards, raffles, or lotteries are required to file Maryland Form 502D within no more than 60 days.
For Federal, all your income and withholding are lumped together. You don't pay tax on any item separately. If you have a refund after entering the lottery income, your withholding from other sources has paid the tax. If you owe, you pay for all your shortage of withholding.
