The seeds would be where you looked for them - in the dead flower head. I can only surmise that maybe you looked too soon, before they were ripe, or your daisy didn't get pollinated for some reason. They are self fertile but maybe there were no pollinators around? Are you perhaps keeping this plant indoors?

No I actually bought these particular plants from the nursery. They are dead looking, I'm going to go back and try it again.