My finished, downloaded tax returns didn't include cover sheet with federal or state mailing addresses - where to mail?

No.  Assuming you live in the state of Michigan

See this IRS website for the mailing address, by state with and without a payment - https://www.irs.gov/filing/where-to-file-paper-tax-returns-with-or-without-a-payment

 

For the federal tax return filing without a tax payment -

Department of the Treasury
Internal Revenue Service
Ogden, UT 84201-0002

 

For Michigan, see this Michigan website - https://www.michigan.gov/taxes/iit/filing-options

• If you have a refund, a credit, or no amount due, mail your return to:

  Michigan Department of Treasury
  Lansing, MI 48956

• If you owe taxes, mail your return to:

  Michigan Department of Treasury
  Lansing, MI 48929

I had the same issue and customer service told me to mail them all to a PO Box in Cincinnati which is not what the IRS or MI websites say to do. I’m really frustrated. 

Thanks for the response - both websites are helpful!  I should have clarified am a US citizen but reside full-time in the UK so turns out the addresses I used before are still accurate and the websites you shared confirmed this.  Thanks again for your help!

I'm experiencing the same issue this time and was quite confused, but I'm glad I found the information here.

I'm a U.S. permanent resident, though I currently reside in Japan. I checked the website you shared and was able to confirm that the address I used last year is still valid.

Thank you!