We've setup Domestic (US) as our only shipping zone. Within that zone we have disabled the states (AK & HI) and territories (all of them) that we don't ship to.
During checkout 'United States' appears as the default and only option under country. (Perfect!) However, in the 'State' dropdown box all of the states and territories appear as options. Seems if they have been unchecked in our settings, they should not even appear in the list. This just adds to customer confusion who don't learn that the products they want to order can't be shipped to them until after they complete their shipping address.
On a side note, and folks have inquired about this several times here over the years with no real solution, part of the issue could be solved by allowing custom messaging or text to be displayed in an area (perhaps at the bottom of the shipping address form) during checkout. Being able to add a disclaimer or other information would be helpful.