Illinois (IL) Department of Revenue What's New for 2017? lists the changes to IL tax law for this year. Here is an excerpt relating to your question.
"Exemption Allowance
For tax years beginning on or after January 1, 2017, the standard exemption allowance may not be claimed in Step 4 if a taxpayer’s federal adjusted gross income (AGI) on Line 1 exceeds $500,000 for returns with a federal filing status of married filing jointly, or $250,000 for all other returns."
This is the most likely reason for your federal exemptions not to carry over to your IL return.
Other reasons can be as follows:
Calendar-year filers with a tax year beginning January 1, 2017, it is $2175 per exemption. If someone else can claim you as a dependent and your Illinois base income is $2175 or less, your exemption allowance is $2175. If income is greater than $2175, your exemption allowance is 0.
Fiscal-year
filers with a tax year beginning June 1, 2017, it is $2000 per
exemption. If someone else can claim you as a dependent and your
Illinois base income is $2000 or less, your exemption allowance is
$2000. If income is greater than $2000, your exemption allowance is 0.