Even if I have to pay the difference, I do not understand why Illinois doesn't count the 1200 refunded as me trying to pay enough in taxes to cover them? Not like I can get my company to pay illinois too.....
The reason you owe a penalty is because IL did not get the money and their revenue departments do not transfer the money between each other so as far as IL is concerned, you did not do your part in making sure that your tax liability to the state was covered.
Have you checked with your company to see if they can? Many are able to. If you cannot get your company to withhold for IL as well as MO, then you would need to make estimated quarterly payments to IL.
For this year, you may be able to request a refund of penalties, however, approval is up to the state and you would need to be sure to make your quarterly payments in future years if you continue working in MO.