"Not sure if I am missing something."

What you keep stating isn't what you should be expecting.

"The 3 W-2's from other states (not KY) do not add up to the state taxes paid on the KY W2 under state taxes."

Withholding is not taxes owed. Until you work through the tax form, you won't know taxes owed. These are prepayments. A person might end up owing no taxes, and get a refund. Or, they have no estimates or withholding, and it turns out, they owe taxes.

"Even the one W-2 from KY"

It might help to think of that entire package as Pages of the same one W2. If that is one employer, they don't have a lot of room for breaking out the reporting, so they issue more than one page, to show the breakdown for specific States.

"shows ALL the income in KY, even though the other 3 show income in their states that add to the one total."

No, that's not the way to understand it.

You have Fed total.

You have various States with Various amounts of reportable taxable earnings. Some of these States also expected the employer to do some withholding.

Don't try to add together anything about States, from that form, even though it is lots of pages and lots of States. That's not what is being reported.

For instance, a resident in KY would report all the same amount as Fed, because that is their resident State and that is how KY wants it reported. The nonresident States might or might not want the Fed total. They might want only amounts attributed to AZ or whatever States. My State, Montana, expects full Fed to be reported, for nonresidents. You would never add KY and Montana, expecting to = Fed, for those reasons.

Is there a problem you need help with? Stop doing wrong math, and use that info for tax preparation. You might find you have no issues.