For NR and PY state, you should always check the input screens under State & Local > Part-Yr./Nonresident Info.

There, you'll find MO Part-Year/Nonresident Info.  Once you populate the "Missouri Nonresident Information" section, MO-NRI will be generated.

I'm having the same issue with a MO non-res living in TX. I see the input screens your referring to and I completed them, but the MO 1040 is still show all income subject to MO and not generating the MO-NRI. 

Thanks for your suggestion! I had to go into the Client Information screen and check the "multi-state return?" field to get the system to allocate between the two states.