The issue of setting jurisdiction relates to where the corporation was incorporated, not if it is a federal or provincial corporation.
Under Jurisdiction, enter the province or territory that the corporation has business in. For instance, if the corporation is registered federally and doing business in Ontario, select ON as jurisdiction in the drop-down menu. If the corporation is doing business in more than 1 province and allocating income to multiple provinces, set the jurisdiction to MJ: Multiple Jurisdiction. You must then also fill form S5 to properly allocate the income.
Note: A federally incorporated corporation must file their annual return Form 22 separately and pay the annual fee.
For more info, visit the CRA's Policy on filing of annual returns - Canada Business Corporations Act.