I never received a check from fidelity investments but they sent me a 1099-R. One of the questions is asking me what did I do with the money but I never got it

Were you suppose to get a check?  Or was it a transfer to another account?  Or you had a loan you didn’t pay back?  What code is in box 7?  Usually if you didn’t do the first choice like put it in a Roth you pick the other choice.  It only wants to know if you moved it to a Roth account.

Why did you get the 1099R?

I didn’t do anything with it I never got a notice about it when I left my last job

In box 7 it says 1. Meaning early distribution, no known exception (in most cases, under age 59 1/2)

You need to contact Fidelity and find out what happened to the money.  The 1099-R may need to be corrected.

[From the Fidelity Website:  Regarding Contacting Fidelity Customer Service Representatives]

Fidelity Representatives are standing by to help, any time of the day or night.

If you did a rollover, that is doing something. the turbotax phrase is "moved it to another account
 (or the same account)"