I have the same issue. I noticed after a few paychecks that I was getting taxed in CO and called Payroll to have it changed some time back in October. (August new hire here). It never occurred to me that it would reflect that way on my W-2 and thought they would take care of the change retroactively as well. I live in IL and have the entire time. My W-2 shows half of my income in CO the other in IL. I will be making calls tomorrow with regards to this as well. No reason why I should be filing for CO State income tax.