Why didn’t my federal return come in when my state return did?

The IRS and state taxing authorizes are two completely different and separate entities that do not communicate with each other. You'll get your state refund, when your state issues it basically. Just like your got your federal refund when the IRS issued it. Additionally, no taxing authority will communication with anyone but you about your tax return. So nobody else can find out "why" on anything concerning your tax return. But you can always contact your state taxing authority, since you are the only person they will communicate with concerning your tax return.

Your federal refund comes from the IRS treasury department while your state refund will come from your state treasury department. They generally come at separate times.

 Processing times vary from state to state and it's not uncommon to receive your federal refund before state; or vice versa. 

Please see below for tracking your federal refund:http://www.irs.gov/Refunds