Yes, you should attached a copy of your federal 1040 to your state return.
Maybe things have changed since 2019? It's my understanding that if you're filing by mail then TurboTax generates all the pages of the return that you need to mail, including any pages from your Federal return. For example, in the return generated for a 2024 MASS resident personal return, TurboTax only included a few pages from my 2024 Fed return. To quote "The official return for mailing is included in this printout". In my case the only parts of the Fed return were Schedule's C, D, and E, and not the entire Fed return (so 6 additional pages and not 30!). However, I also used TurboTax to generate my 2024 Vermont non-resident return for rental income earned there, and in that case my entire Fed return was indeed included as part of the "official return for mailing" . Apparently it varies state-by-state, but I would rely on TurboTax to live up to its (well deserved) reputation for accuracy and just mail what it says to.
No. You do not need to mail a federal return with your Massachusetts State returns. You should include the following however.