Pensions/annuities on 1099-R form are only taxable by the state you live in a the time you received the $$.
As such, you need to get hold of the folks administering those payouts, and let them know you live in Michigan and not Wisconsin to get the WI withholding stopped....( and if needed, get MI withholding started)
Whether, part or all of it is taxable in MI, may depend on your age...it gets a bit messy, but TTX will apply the proper MI deductions based on the ages of you/spouse after entering yoru bitrhdates:
2021 Retirement & Pension Information (michigan.gov)
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If you were a full year resident of MI for 2021, you will need to file a WI nonresident tax return for WI indicating zero $ of WI income to get the $$ refunded. Some states require paper filing for that situation.....not sure if WI does or not.
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*