That does not affect the federal return.

Does the state require it?  If so, I suspect it is somewhere among the state information (but I don't use ProConnect, so I could be wrong).

For some states like California, it requires to have health insurance to avoid penalty.  If it happens, just need to go to Credits -->Premium Tax Credits  -->CA Premium Assistance Subsidy/Penalty, then enter 1=entire household covered for all months.  Then you will not see any penalty from the State tax return. For the states no health insurance requirement, nothing needs to be done.