This is because VM disks are not stored as files on ZFS, but a new dataset of the type volume is created for it. It provides a block device directly which can be passed to the VM.
You can see them with zfs list
and will see that there is no mountpoint defined, they will not show up in the file system. But they are exposed as /dev/zdX
devices with convenience symlinks under /dev/zvol/<pool>/...
to identify which dataset is which /dev/zdX
device.