Rance, I ran into the same results you have when I was trying to figure this out a few years ago.  I also had problems trying to find the physical store, as well as reading information from MSDN that the certificates are stored in the registry ... or not  

I'm not sure if this will help you but I have tried the following: run certmgr.msc and then select View > Options > "Show the following: Physical certificate stores"

This didn't help much as the actual physical location information wasn't displayed, I then ran Process Monitor (Sysinternals) and monitored the mmc.exe process while I toggled "Show physical certificate stores" hoping that I will see an open/read file process to the local computer. Process Monitor did show some read file activity such as:
create file and query directory C:\Documents and Settings\<user>\Application Data\Microsoft\SystemCertificates\My\Certificates

I checked the directory mentioned above and that was empty.

I also saw a registry read request for: HKCU\Software\Microsoft\SystemCertificates\Root\PhysicalStores
which resulted in a "name not found"

I also tried the following from MMC: "Trusted Root Certification Authorities" > "Local Computer" > "Certificates" and then selected a random certificate and saw that a call to read the registry was made, an example below:

HKLM\SOFTWARE\Microsoft\SystemCertificates\AuthRoot\Certificates\049811056AFE9FD0F5BE01685AACE6A5D1C4454C

So it does appear that certificates are stored in the registry

You're welcome, glad to help