State maps out of the box to MailingState on the Contact and State on the Lead.
If you are populating Marketo's "State" field, then you are populating this field in the CRM... but your CRM layout may or may not be displaying this field.
In this case, it seems like the layout on the lead uses the State_Province__c field, which is populating against Marketo's State/Province field (ie., not the "State" field).
You could try setting up a smart campaign that maps the value of State/Province to State.
Be careful if you create two smart campaigns with one that maps State to State/Province and one that maps State/Province to State - or try it and see what happens.. hehe.
Thank you Nicholas for your response. I think what happened was that there an incorrect mapping of Marketo to SF. Testing it out tonight.