Yes, you are correct. But the Confederate Government of the State of Missouri was in exile in Arkansas.

There was a Union Government which occupied the state and controlled the populace of Missouri for almost the entire War. That Government was responcible for the welfare of the slaves in that state during that period. That is the hypocracy of the Union "Freeing The Slaves". Slaves were still slaves in Missouri under Union control at least 6 months to maybe a year after slaves in other southern states were freed.

That is the Government of Missouri that David is having reference to as being Union.