The quickest way to clean up unused states is with the Clean Up button at the top of the states pane. This automatically deletes any states that are not used by any component on the design.
It is much faster than searching each component for states since there can be a lot of areas that the values can be applied too (On Show, On Click, On Hover, ect.). On Show/Hide will make the component have a lightning bolt next to it to show that the visibility changes, but other events (i.e. On Click) only shows up in the inspector or when you click the component in test mode (a little notication shows up at the bottom showing which state and value changed).