It seems like you split the file AFTER the Federal was filed. Is that correct? If so, that is why. The program can't 'see' that the Federal was filed.
Can you use the original file before the split to file the State? Otherwise, you may need to file by mail. As for why the other States went through, States have different requirements, and some don't need the Federal filed along with the State.
As a side note, have you double checked that filing the States Separately is allowed with a Joint Federal return? Many (maybe most?) States require it to be the same filing status as the Federal. It would seem quite unusual if you have three States that all allow to file differently than Federal.