Land Grants in the Wrong State

I have searched the Bureau of Land Management's General Land Office Records website many times trying to find some land of my ancestors in Southeastern Indiana. I have never been able to find any. I received my own copy of History and Genealogy of the John Shepherd Family in the mail (after I purchased it on Ebay) on Saturday. I was once again determined to find the land records. I was inspired by the book and by my new online study course "US Land Records" at the University of Toronto's National Institute of Genealogical Studies.

I searched within Indiana for Shepherd, Shepard, Sheppard, etc. and could not find anything. I had James Shepherd on the census living in Switzerland county and the book said that he had purchased land, but I could not find any evidence. I decided to search within Ohio and see if the borders had changed or something. Right away I found James Shepherd's land grant in Switzerland county. The state on the search said Ohio because the land was purchased in Cincinnati. I wonder how many other people cannot find their land grants because of this same problem. I also searched for some other relatives in the area and found a Bascom, Michael Dunning, and more. Maybe this information will give me more information to work with to continue my family lines. I just wish that the BLM would change their search to make it search within the state where the land is located and not where it was bought.

Here is James Shepherd's land grant: