What does it mean when they ask for state or local refund?

I assume you are seeing "Review" in the "Wages & Income" section, the "State/Local Tax Refund" topic.  Typically this indicates some entry is missing there.  You should edit the topic and go through the entries for the 1099-G (State Tax Refund).  

Perhaps, if you used TurboTax last year, a refund was indicated and when the prior year information transferred in TurboTax is looking for state refund information to reconcile.  If you have not made any 1099-G entries for the current year showing that refund information a "Review" box may appear.  

A reminder if you used the standard deduction last year, which is most typical, then your tax refunds will not be taxable. However, you will need to clear the error by making the form entries showing any state/local refunds received.