What does it mean when STATES THAT DO NOT TAX UNEMPLOYMENT BENEFITS on the state return? I am in PA so does that mean it will have no affect on my return?

That is correct.  Some states will tax unemployment compensation and some do not.  Each state has its own tax laws.

  But the unemployment is taxable on your federal return.

Your unemployment compensation is taxable on your federal tax return, but not on your PA state return.  See this:

https://www.uc.pa.gov/unemployment-benefits/benefits-information/Pages/Taxes-on-Benefits.aspx#:~:text=UC%20benefits%20are%20not%20taxable,for%20dependents%20(if%20any).