Yes, you'll have to file a border state return.  The whole point of the "border state" box is to alter the calculation of the Other State Credit (in the taxpayers favor).

If you qualify, the box is on the Information Worksheet in the VA return in Part IV at the very bottom of Page 1.

Rick

Edit: If you pay-per-return, yes, you'll have to pay for the KY/MD/NC/WV return.