Turbotax is stated I have neither a balance nor a refund due to OR. Should I file an OR state return anyway since I have an income rental property there?
Yes, you still need to file the Oregon return. Not having a refund or an amount due means that you managed your funds perfectly. Great job.
Yes, you still need to file an OR state return. If anything, it proves you have no taxable rental income.
It's perfectly normal for residential rental property to show a loss every single year *on paper* at tax filing time. When you add up the deductions of Mortgage interest, property taxes and insurance, and then add that to the depreciation you're required to take by law, it is quite common for those four deductions alone to exceed your total rental income for the year, resulting in a loss on line 26 of the SCH E. If you don't include this in the OR-40-N non-resident tax return, then for all intents and purposes every penny of rental income received is fully taxable by the state.
Additionally, when you sell the OR property your carry over losses will help reduce any taxable gain realized on the sale, thus keeping your tax liability lower for any state taxes assessed on any gain realized from the sale.