On your federal return, retirement income on a 1099-R is taxable unless it's a qualified distribution from a Roth IRA or there are other specific circumstances. So when you add a 1099-R, you're basically adding income to your return. If no tax was withheld when you took money out of the retirement account (or pension), then you're increasing your taxable income without offsetting it with taxes paid. So your refund will go down.
In the future, if you're getting a 1099-R each year, you might want to have taxes withheld if you wind up owing Uncle Sam or your refund is less than you're comfortable with.
