I didn't get a physical copy of my W2 in the mail but I found a digital version on the IRS website, should I check the box for "didn't get a W2" or no?

For a 2024 w-2?   Yes, you should mark the box that says this is a substitute w-2 if you did not use the actual W-2, Wage and Tax Statement.  The IRS does not have your w-2 unless you already filed, mailed your return and included copies of your w-2.  

You can get a wage and tax from the IRS - but that only includes federal information.   There is nothing about state taxes included in the transcript.   If you are in a state with no income tax, you will be fine using the transcript info, but if you live in a state with income tax (most of them), you don't have all the required information from an IRS transcript to file correctly.   

Please see IRS Wage Transcripts