When a Marketo field is synced to a SFDC field with a picklist, that picklist will be synced to Marketo when the field is added to a Marketo form. The values section of the field in the form will show the values from SFDC. However this does not occur with the standard state field in Marketo.
The state field's form picklist is not updated because it is automatically populated with the 50 US states.
To get around this, you can either manually update the values in the picklist in the form, or you can use a custom Marketo field. This field can be remapped to the state field in salesforce with assistance from support.