Yes the state parameter is the recommended approach by the OIDC protocol. This is not something that is clearly discussed it would be nice if OKTA could provide a blog post on this. Basically when the redirect is done to the Authorization server the value that is stored in the state can have a reference pointer to some endpoint on your server side. On the trip back to your callback you can validate the state and redirect the user to the appropriate endpoint once they are authenticated.
I don’t understand your follow up. The state parameter is returned back to an OIDC application, via the provided redirect_uri, after said application redirects to Okta for the /authorize request.
You might want to check out our docs about OIDC and the /authorize endpoint, as well as the different types of flows (step by steps for each flow found here), to understand OIDC better and where the state parameter comes into play