You didn't respond to my question about whether or not the IN return was marked for e-file. If not, you cannot attach anything. I made this mistake once until I went back in and marked it, and it worked.

The marking is in the fed w/s, but you still have to go into the state to "recognize" it as state e-filing.

In another guess, some states might not allow it. I created a dummy S corp and IN, and inside the IN s corp, the menu item for attaching PDFs is grayed out.

When I went to the EF Center and tried to attach a PDF, the "Attach PDF files" menu item is NOT grayed out, but the error message said "You must select a single return that allows PDF file attachments for electronic filing." IOW, IN doesn't allow it.