Colorado Withholding for Exempt employees

We have a recent Payroll tax issue where an employee is exempt from Federal withholding but Colorado withholding is still calculating.  Employee tax area is '06' for work and residence and we only specify a override for FEDERAL with a Tax Type 'A' and use Vertex for Payroll tax calculation.  This is happening on more than one employee.  We are a 9.2 EnterpriseOne customer and we are on the latest version of Vertex and took an update earlier this year when Colorado had a withholding change.  Anyone else in Colorado using Vertex experience anything similar?  We are a public entity