The camera doesn't create an XMP sidecar file, and Lightroom will only create one if you specifically ask it to. You can ask LR to do this in two ways:
1. You can enable the option to "Automatically write changes into XMP" on the Metadata tab of the Catalog Settings dialog, which will do this every time a file is updated in Lightroom.
2. Or you can manually force the XMP to be written by doing Ctrl-S on selected files.
Note: XMP sidecars are only created for proprietary Raw files such as NEF, CR2. For all other file-types (DNG, Jpeg, Tiff, etc) the XMP data is written into the header of the original file.