Hi. I just ran a transaction report for the date range of 07/01/13 to 09/30/13 and added the filter of Ship to State with a value of CT. It returned 2 transactions. I then ran the report without the ship to state filter and manually filtered the excel files I downloaded. I found MANY more than 2 transactions shipped to CT.
I looked at the two orders that showed up when I included the ship to state filter and the only commonality I could see was that they both had different billing and shipping addresses. I quickly compared all of the orders I found when I ran the report and sure enough, the 2 that showed up in the report with the Ship to State filter used were the only 2 that were shipped to a different address than the billing address.