TaxGuyBill et al: 

For nonresidents, stocks, dividends are reported on Schedule NEC on federal return, and only the tax amount is transferred to the main form 1040-NR. Interests are not reported.

However, even if a taxpayer is a nonresident federally, she may well be a resident for the state. Because her investments are not reported on Schedule B and D, the income and loss are not transferred to the states. How do you solve the problem? This question can be divided to to sub-questions:

1 - How the investment income or loss should be treated in theory?
2 - How do you implement the treatment in Proconnect software?

You can pick a state to address the issue if things become state specific. Thanks.