In Montana, is it necessary to send a Federal Tax Return with a State Tax Return?

It might be, depending on the return.  In my state, it is necessary to attach a full copy of the Federal return when there is a Schedule C to report, for example.  Montana may or may not have a similar requirement, but TurboTax will handle it.  If you are e-filing your Montana return, all of the required documents should e-file with it.  If you are mailing the return, all of the required documents will print in the correct order for you to mail in the state return.

For Montana, it is not necessary to attach your full Federal return if you are a full year resident.

Turbotax does a poor job of deciding which Federal forms you need to attach (including extra forms and sometimes leaving out required ones).  If you are mailing the return, it's best to look through the Montana Form 2 yourself and see what is actually needed.