Despite the fact that Black Panther is the last Marvel movie before Avengers: Infinity War, it doesn't do an awful lot of set up the events of that giant superhero ensemble. It also [WARNING: MAJOR SPOILERS FOLLOW] doesn't address whether or not the Soul Stone is in Wakanda despite the fact that the heart-shaped herbs which give T'Challa his powers could have very easily been tied into those.
So, why didn't the movie feature an Infinity Stone? Well, it turns out that director Ryan Coogler - and Marvel Studios - wanted to keep the focus on Vibranium and the special qualities that's capable of.
"I love the Infinity Stones as much as any comic book fan, it’s just Wakanda already has its thing, which is Vibranium," Coogler revealed. "For us, that was special enough, so to throw in something like another special thing didn’t feel right. It felt like we should stick with our one MacGuffin for the country and explore that, let that be the important thing because, frankly we didn’t need to have another piece like that. [Marvel] never really was interested in putting a stone in there, either."
LEGO sets for Avengers: Infinity War have pointed to that movie featuring a battle centred around The Black Order trying to retrieve the Soul Stone in Wakanda, so it's entirely feasible that T'Challa just doesn't know it's there! We'll just have to wait and see but share your theories in the usual place.