This link:
http://www.cic.gc.ca/english/information/security/police-cert/north-america/united-states.asp
mention that...."Applicants may also be requested to provide State certificates".
So maybe yes or maybe not, if your request didn't mention State Certificate send only FBI, but if you already have the state certificate send both it won't hurt at all.
Remember this is my humble opinion.
Peace!