Dumpprivkey or dumpwallet won't show my private key for the address in my wallet
The problem was not a technical problem. More like stupidity.

The address I received the bitcoins to is not one of the addresses in the address book. The address book is like your contacts on your phone. Your actual addresses are under the receive coins tab.

So I saved someone else's address to my address book for whatever reason. Then I was trying to extract the private key of that address from my wallet which of course I could not.