There is a specific portion of the W4 related to other income you and anyone you are filing jointly with have. Otherwise every job will withhold only what they “see” as your income. I would assume the W-2 withheld almost nothing in federal taxes. Depending on your regular job I am going to assume you cracked the 22% mark and really should have had 22% taken from those checks.

It’s your job to inform all your jobs of other income. Your job didn’t make an error, unfortunately you did.