The shortcode is not valid:
[cn_multi_category_search category="x| enable_country=true enable_region=true enable_city=true enable_zipcode=false]
You need to remove
category="x| since that is only partial fragment of the category option.
The states are pulled from actually addresses added to entries? have you added full addresses to any entries? If you have, make sure they have the state field populated.
Hope this helps, let me know.