If that is how you have your W-4 setup with your employer you do not have to do anything else. If it is not correct or you are unsure, you will provide the information to your employer to update your W-4.
I see.
But for this screen, since there is nothing next to Personal Allowances, does that mean that is zero?
Should I go back, or just hit continue if I don't want to change my W4?
You can click through that section. TurboTax will generate a ES & W4 Worksheet. But you don't have to do anything with it. Nothing will be changes unless you print out the form, sign it and give it to your employer. So, you can delete it from your forms list if you don't need it, or throw it in the trash if it prints.
How to delete forms in TurboTax Online