If I unselect the state return(Utah) does that mean I don't file my state tax?

Yes. You can file them separately. State returns can be e-filed with your federal return or after your federal return has already been accepted, you can no longer e-file a state return before the federal. Measures were put in place for extra security.

You can file only your federal return now and then file the state return later. If you would like to do that you can follow the instruction in the link and placed here for your convenience. 

• How to file my federal taxes now and state later (you can check out the hyperlinks).

You can, but your e-filed federal return will need to be accepted before you can e-file your state (or, you can just paper-file your state return later).

Here are two ways to skip your state in TurboTax Online:

1. Delete your state return, file your federal return now, and then come back later to re-do your state return, or
2. Pay for both your federal and state returns now and when you get to the Here are your filing options screen, select Change next to your state return. On the the Change filing method screen, select I'm not ready to file and Save.

Method 1 doesn't require up-front payment for your state, but you'll have to re-enter your state information later. Method 2 saves the work you did on your state return, but requires up-front payment.