Do you have to pay long term capital gains in the state of Wisconsin in addition to paying the federal taxes?

No, you do not exclude capital gain distributions from your state taxes, but if you were a part-year resident of WI (or a non-resident), some (or all) of your capital gains distributions may not be subject to WI tax. This question allows you to allocate that income to the state where you lived when you received it.

The TurboTax federal program reports all of your income to the IRS, because all of your income is subject to federal tax.

If you were a part-year resident of a state, then that state will only tax income earned while you were a resident. There are income allocation screens in TurboTax state programs  that allow you to allocate your federal income to the state where you lived when the income was earned.