You may need to add the form values to the bindings from the checkout page if they don't show up automatically.
Trigger: click the lightning bolt and find the checkout form and the State field
Session Name: Can be anything... use "ShippingState"
Value: Same as the trigger... lightning bolt to the field from the checkout form
If the checkout form doesn't appear in the bindings, then open the bindings panel first and click the plus button and choose "Add form" and browse to the checkout page.