Shawn Kovalchick Your comment is already a few months old, so maybe you have already figured this out. Still, posting a workaround if someone else is struggling with the same thing.
I downloaded the .jar file from https://mvnrepository.com/artifact/com.cloudbees/groovy-cps/1.24 and then inside IntelliJ IDEA I added the .jar to my project's Global libraries (Project Structure --> Platform Settings --> Global Libraries). After that my IDE didn't complain about @NonCPS anymore.