Did you check the box that said: "I earned tax exempt dividends in more than one state" at any point?
MX is the code for more than one state and when that box is checked it will show on the worksheet as the state where dividends were earned even if you selected Wisconsin from the top menu drop down box (and not the bottom the multiple state breakdown list).
(Also, if it was an imported form, it may have imported with a more than one state designation)