I posted the same question on my local forum and got an answer.

Salvia mexicana can be late to start, and we have had cooler than usual weather this spring, so don't give up for a couple more weeks.

'Elise' was definitely gone. I went ahead and pulled it after the person whose garden it originated in said that it didn't overwinter for her. I'll give 'Tula' some more time.

I would agree w/Richard these salvia's like growing in
warmer weather. Did "Elise" have any living roots or was
it all mush?

It didn't have any living roots- pulled up easily. I checked the 'Tula' yesterday to see if I could find some growing points around it and found nothing. We had a very mild winter but the drought prevented the plants from rooting in and growing vigorously last year so I'm not very surprised.