In the US, the Supremacy Clause only holds insofar as federal law doesn't overstep the restrictions on federal power outlined elsewhere in the Constitution. The wording is "the Laws of the United States which shall be made in Pursuance [of the Constitution]".
If you follow federal law over state law, but then a federal judge holds that the federal law you followed was an unconstitutional overstep in a domain that the Constitution reserves to the states, you are SOL
This might be happening with the founders of Kalshi. The federal law and CFTC has been saying that these prediction markets are federally regulated, but they're facing criminal charges in some states.