My guess it that these machines are only going to be in states with deposit laws, and it's likely the grocery stores are legally required to take returns (whether by machine or human).
There are 10 states with bottle deposit laws (which mostly predate consumer recycling): California, Connecticut, Hawaii, Iowa, Maine, Massachusetts, Michigan, New York, Oregon, and Vermont.
I suspect a much higher percentage of material actually gets recycled from bottles returned via deposit law mechanisms, compared to US standard "single stream" residential recycling, which are kind of notorious for their low rate of actual recycling (material taken away from homes actually being recycled) due to contamination and expense of separation.
I’ve seen them in Michigan, though.
I also never bother to return my bottles and cans, because it's still a waste of my time. I put all bottles and cans in the recycling, along with anything else recyclable (on the backend, almost everything goes to a landfill anyway. But that's not my problem.)
Edit: for those asking, I have lived in multiple New England states, and bottle return machines have been common in all of them.