Where did my state machine go?
XST won't always recognise what you might call a state machine as one.  It might decide it looks more like a counter or a shift register for example (say if the state machine just trundles from one state to another with no chance to stall or "branch").

As far as I know XST won't report state machines anywhere else (but I admit I haven't looked hard as I very rarely care what XST thinks it's doing, as long as it gets the functionality right!)