You need to trigger these ACH payments on the return for each state.  It is not automatic, even if you checked the boxes for Federal.

Under General > Misc. Info./Direct Deposit, go to the tab for each state you had wanted payment(s) to be made by ACH, and review whether the applicable box(es) have been checked.  If not, you should advise your clients to make the payment(s), ideally electronically, ASAP.