I can't find it right now, but I remember reading somewhere (maybe on Jeff's blog, maybe on meta.SO) that it takes a couple of cycles before a new SE site gets in to the database dump, and it only dates from when it went public. Since the database is only updated each month, it may be that math.SE just hasn't been public long enough to get in yet. Also, reading the latest articles, I see that they're mucking around with the architecture underneath the data dumps so that might mean it takes them a bit longer to put the new sites in.