What do they mean by "Attach supporting documents for your entry of $ for federal income tax withheld." ?

Exactly where are you seeing that?

Usually the documents that would show federal tax withheld would be a W-2 or a 1099 (of which there are many types).

If you have entered federal withholding, and you are mailing in a tax return (not e-filing), you are required to attach a copy of the document that was the source of the amount, of withholding, that you entered.

It's usually a form W-2 or one  of the many 1099 forms (1099-R, for retirement income  or SSA-1099 for social security, or 1099-G for unemployment,  being the most common).