Non-service fellowship income, in the absence of tax treaty benefits, is also exempt from tax withholding when paid to a resident alien. First, confirm your residency status, and only if you were a nonresident alien, last year, should you look into updating your mailing address and requesting a reprint of the document.
See also: 1042-S, Resident alien, Scholarship, Stipend, Tax treaty, Tax withholding, Fellowship, Tax reporting, Administrators, Individual