Our situation is as follows:
1. I (h-1b) lived and worked in VA in2009.
2. My wife (F-1) lived and worked in MO in 2009.

We jointly filed federal return for 2009. But we are not sure if we can choose "Married filing separate" when filing state tax return. We called MO dept of taxation and was told if you chose "Married filing joint" in federal return, you have to choose the same for state. But it says that we can choose "Married filing separate" for state even we jointly filed federal return.
I am confused.

Thanks

Normally you need to file joint return for state also.
For VA you are resident and will report your income. Your spouse is nonresident and does not have any MO income.
Similarly do MO. Your U.S. Tax Return: Working or Living in Two or More states (http://taxipay.blogspot.com/2008/06/working-in-two-or-more-states.html)

Yes - you can file as Married Filing Separately on your individual home state returns as long as your spouse did not live in your state and did not have any income from your state.