You may not be able to "find this" and you probably don't need to.
How to correct? Enter "XX" in the SmartCheck state box, that should clear the error. If you can't select "XX" (or "More than One State") in the SmartCheck screen, you will have to edit any 1099-DIV that has an amount entered in Box 10 (Exempt-interest dividends) or any 1099-INT that has an amount in Box 8 (Tax-exempt interest).
They are actually asking for a state abbreviation (FL, CA, NY, etc.). When you get this message, either a 1099-DIV or 1099-INT is reporting tax-exempt interest/dividends and the program wants to know what state you got them from. (This information is needed for state returns only).
In the vast majority of cases, the investment fund that sent you the Form 1099-DIV (or 1099-INT) has tax-exempt interest dividends from more than one state . Additional information that came with the 1099 may have that information, but unless one state accounted for the majority of the income, you should choose "More than One State". In most cases, however, the income in Box 10 (or 😎 isn't broken out by state.
What if there is no state because the tax exempt dividends were made through a company located in Europe? So there is no state that can be checked since it is a foreign country?