Hmm, the sharpening shows up to me, the "Input Sharpening", that is. We're not talking about the "Output Sharpening" that shows up in the Export dialog -- that will only show up if you export as a tiff or psd and then open it in Photoshop.
Note that the Input Sharpening can be more "subtle" than the output sharpening, expecially if you just apply a "touch" to make the image more pleasing to the eye. To test things out on an image apply a larger amount of the sharpening in the detail panel than you typically might prefer. Then, do the Edit in Photoshop (with the Lightroom edits applied) and view the tiff/psd in the Actual Pixels mode (100%). The fine details should show up with the Lightroom sharpening applied.
If you don't view it in the Actual Pixels mode, well, the fine details (and the Lightroom Input Sharpening) will tend to be obscured...