If you didn't have Marketplace insurance, then you didn't receive premium assistance and there will be no effect on your taxes. However, if a Form 1095-A is issued and you don't enter one on your return, your return may be rejected by IRS.
Yes, if you determined that you received a Form 1095-A in error, you should contact the issuer to have it corrected. You can also log in to your healthcare.gov account to find Form 1095-A.
See here for more information from IRS on this topic.
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