Yes, you need to report your health insurance (or lack thereof).
If your income is below 100% of the federal poverty level for your family size, and you live in a state that refused to expand Medicaid, then you are exempt from the insurance requirement.
When you fill out the Health Insurance section, enter the months that you had health insurance. The program already knows whether your income was below the FPL (see the screenshot below). When the program sees that you didn't have insurance for some months, it will ask if any of these situations applied to you. Check any boxes that apply. When you are done, the program will have completed form 8965, Exemptions from the Health Insurance Penalty.