Yes, you need to report the income on your tax return even if you did not receive a 1099-R. However, they were required to issue you a 1099-R because you had tax withholding so you should contact the plan administrator to get a copy so that you can file your taxes correctly. See What to do when a W-2 or Form 1099 is missing or incorrect.
If you try to get the 1099-R and are not successful, in TurboTax, you will enter in the 1099-R section- you will be able to indicate that you did not receive a 1099-R.

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