The second just wanted me to save the excel file as "W2REPORT" which obviously is not helpful.

To create the required W-2 file using the State W-2 report/file feature, you will first pull data from QuickBooks (a process that starts automatically when you launch the feature), which creates a worksheet like the one below, and you'll start an interview process that creates the required file for the state from that worksheet.

Once you've reviewed the data, then start the process to create an EFW2 file from the worksheet:

Pick Start Interview from the QuickBooks Payroll State W-2 menu that appears on the Add-ins tab:

The feature behaves differently for different states. When I tried it for MO, it came up with a very specific file name, which I expect is because that is what MO wants.

It's that .txt file that should then be submitted to the state.  It is a W2REPORT file, also known as an EFW2 file.