I have been living in the Netherlands for 4 years — must I complete state returns?

If you are US citizen/ resident( Green Card), then you are taxed on world income by the USA. Therefore you need to file  a return.

Do you need more on this ?

Both State AND Federal? I've seen conflicting sources on the question.

Federal --yes. State  generally depends on the State . Which State?  And also your connection to the State-- some consider you non-resident after a period, others may or may not