At your step 5., when you export a RAW file from LR to PS (or when you open a RAW file with PS, make some editing and then save it in TIFF format and import it back to LR), a TIFF get created. However, this TIFF has no sidecar file attached, so you won't find any.
So back in LR with a TIFF file, you expect the changes you made to be saved in a XMP file... but no, LR nor PS won't do it : XMP files are only used when associated to proprietary RAW files.
When using DNG or TIFF file, the change are stored in the file itself (and very probably in the LR/PS Catalog but I haven't checked).
From the same link you provided (for LR 4), you can read ([...] are my editions):
In the case of camera raw files that have a proprietary file format,
XMP isn’t written into the original files. To avoid file corruption,
XMP metadata is stored in a separate file called a sidecar file. For
all other file formats supported by Lightroom (JPEG, TIFF, PSD, and
DNG), XMP metadata is written into the files [not the XMP sidecar file] in the location specified [=the file itself and/or the catalog]
for that data
You can check it by opening your TIFF file with a text editor. Probably 5 lines after some unreadable binary data, you will find a readable part => that's the XMP part. It starts by <x:xmpmeta [...] > and finishes by </x:xmpmeta>. As you can see, it's completely readable and the exact copy of what you would find in a sidecar file, if it existed.
A more "modern" source, "Photoshop CC for Photographers" indicates the same thing in the "Camera Raw preferences" part : no XMP sidecar for TIFF file.
Remember that one of the goal of XMP files is to provide a mean to export editing information from one computer to an other. For undocumented / rapidly changing / proprietary format, it makes sense. However, TIFF and DNG format are public, stable and well documented formats, so stocking XMP information in the file itself is perfectly fine.
