W2 forms will be filed with the SSA and WILL NOT be filed directly with any states. If you need to file a state copy you will need to file with them separately or choose the direct-to-state option.
Note: The Software offers direct-to-state filing (File Direct) for a select few states only.
Please see the below Support Articles for further details:
Do-W-2-s-get-Filed-with-the-State-Direct-to-State