Did you make the entry on your State return following these below procedures?
You need a Certificate of Birth Resulting in Stillbirth to receive the exemption, which currently is offered to those who can claim a dependent.
On the section of the state return where you list "Number of dependents from Federal Form 1040 OR 1040A, Line 6c" there is a checkbox if claiming a stillborn. This is likely covered during the State interview, but the Missouri forms are not finalized yet:
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