It will depend on the amount of the distribution reported to WI. If you are not a resident of Wi, and the amount reported is $2,000 or more, you will need to file a WI non-resident tax return and show that the distribution was not for WI. It is the same if you are a part-year resident of WI.
You should not have to pay any tax, just report that the income was earned in your state of residence.
If you choose not to file a WI tax return, you will probably receive a letter from WI asking for the return, or for money. You can respond with that fact that you were a resident of your state when the money was received.
Or you can ask the insurance company to correct the W-2. If you are continuing to receive the long-term disability payments, you will want to get the state corrected for 2019, if not for 2018.