I also had family who served in the Missouri State Guard and the 5th Missouri Infantry - Co B.
The Missouri State Guard was called up by General Price and fought in several battles including Wilson Creek, Lexington, Elkhorn Tavern and Dry Creek. These battles were in the summer and fall of '61 and Spring of '62.
In October 1861, the ousted Missouri Pro-Confederate state legislature met in Neosho and voted to secede from the union and join the confederacy. After Missouri seceded, the Confederate government asked Missouri to raise Confederate troops.
In November and December of 1861 members of the the Missouri State Militia were recruited into the regular Confederate Army, in part due to their 6 months or 12 months enlistment period in the Missouri State guard being up.
At Elkhorn Tavern, you will find both Missouri State Guard, whose enlistement was not up, and Regular Missouri Army, who were previously in the Missouri State Guard and newly recruited into the regular Confederate Army.
I have looked at family records in the Washington DC archives, and typically one of the record cards will state something like "was also in the MSG participating in battles of Lexington, Dry Wood and Elkhorn Tavern".
I believe the reason you have not found any information about your family's participation in the MSG is the National Archieved Records appear to be only a compliation of Regular Confederate Army information.
There are two excellent books on the Missouri State Guard/5th Missouri. One is by Robert Scott Bevier "History of the 1st and 2nd Missouri Conederate Brigade" and a recently reissued book by Ephraim Anderson "Memoirs: Historical and Personal; Including the Campaigns of the First Missouri Confederate Brigade". I liked this book because Ed Bearrs has extensively footnoted the book. I purchased the book at Morningside Books.
Read up on the 5th Missouri. They had a long and colorful service record including Vicksburg and Franklin.