When you have coding regions containing introns, you will need to create multi-interval CDS annotations so that the translation will proceed correctly across the exons.
To create a multi-interval CDS annotation, you should have already identified the locations of your exons in the sequence. Select all the exons that make up your coding sequence, then, when creating the new CDS annotation, be sure to uncheck the option for 'Create separate annotation for each interval'. This will create a single CDS annotation with linked intervals that maintains the proper translation frame across all exons.
You should now see a single CDS annotation spanning multiple intervals with joining lines between them. Check that the translation shows the expected amino acid sequence without frame shifts or premature stop codons.