Do I need to report somewhere that my employer does not withhold social security tax because they are exempt by their Pension plan (Ohio) and I do not owe SS tax?

[DoninGA]

Social Security taxes are not withheld on Pension or retirement income reported on a Form 1099-R.

If you are referring to wages reported on a W-2, SS taxes are not required to be reported on a tax return.

[Bsch4477]

That will be reflected on your W-2. You don’t have to do anything special.