I have a money of federal taxable pension and annuity income that is from a different state, since I am filing in CO right now do I need to announce this is the CO form?

No.  You enter the Form 1099-R in the federal section of the program.  The information flows automatically to the state tax return.

Yes, you need to report it on CO return if you received it while living in CO.

You report the income to the state where you live, not the state where you qualified for the pension and annuity.