You are correct that US states are not bound to honor Federal Tax treaties. However, most do. Here are those that do not:
Alabama, Arkansas, California, Connecticut, Hawaii, Kansas, Kentucky, Maryland, Mississippi, Montana, New Jersey, North Dakota and Pennsylvania.
It may be excluded for California Tax only if the treaty specifically excludes the income for state purposes. If the treaty does not, California requires the reporting of adjusted gross income from all sources.
In most state income tax cases, the state begins calculation of state taxable income with the Federal adjusted gross income which would reflect the treaty exempt income subtraction.
