The general rule is that you owe tax in the state where you live and in any states where you worked.
The withholding is a function of what state your employer will agree to withhold tax for, because the employer has to calculate the withholding and then send it to that state's department of revenue.
You should talk to your HR people to find out why they did not seem to withhold anything for Connecticut. Perhaps they can do so starting now for 2020.
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