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Only the South Market fast travel icon wouldn't pop up in the underground for me. Aside from that, they all showed up. If they're not showing on the main map, try to reveal the area in the immediate vicinity.
correct. in both cities one of the tunnels will not show up on the map until you do the mission involving them. as for them not showing up on the main map. only thing i can think of is to go to each exit in the underground and use it. i had one that didn't show till i did that.