The behavior you are seeing would be correct. States in Masters do not show up in other States panes because Masters are isolated to a different design. It is similar to using an iFrame to view a different page. You can view the content of the Master and use the functions on it, but you are unable to make any permanent changes from a different section of the project. Templates work on a global scale, so all of their states are automatically globalized.
You can make the states within the Master global, which will allow you to edit them anywhere, but do remember that this will make the values persist between all designs that have the Master embedded.
I believe there was a discussion about allow Masters to be global elements with a setting. I'll refresh this idea with our engineers since it seems like it could be useful.