Yes, you would need to file a VA nonresident return and a NJ resident return for this income, since NJ and VA do not have reciprocity agreements. Should you end up owing anything to VA, you could take a credit in NJ for tax paid to another state on income taxable in both that state and NJ. All of your income is indeed taxable in NJ since you are resident there.
In the program, under Personal Info,you'll be asked if you have income from any other states and you would say Yes and then select VA.