It was Utah. Utah doesn't have an extension.

From what I can tell, It was caused by the "1" entered on the Extension screen under automatic extension. 

What it does is equivalent to entering 10/15 for the filing date for the state return. So if the client owes, then it will calculate a late payment penalty. 

In order to fix it you have to remove the "1" or enter the actual filing date for the state. 

It doesn't do this to the federal. And I haven't yet looked to see if it happens to other states.