Is it Really Legal to Have a Pet Possum in Missouri? You Betcha
I'm not a lawyer which means that I'm also not a possum lawyer. However, I have done some very intense possum legal research and I can confirm (more or less) that Missouri is one of the best places to have a pet possum ever.
The subject of possums as pets is such a serious subject I refused to rely on just one source. Instead, I found two. World Population Review (always a fun place to get facts from) says that Missouri allows you to have a possum as a pet - no questions asked (but you do need a permit).
I was able to corroborate the possums as pets in Missouri through the website Pet Helpful. They say (and I quote):
All you need to do is obtain a Wildlife Hobby Permit. That (and Missouri's admin code) authorizes you to hold no more than one red or grey fox, coyote, beaver, river otter, Eastern grey squirrel, bobcat, badger, or opossum for personal use.
As an added bonus, it appears that Illinois allows you this God-given right as well (with a permit, of course)
Most of the sites I checked mention this and I'll echo it. Laws and regulations change all the time so don't take my word as the definitive if you decide a possum needs to be your best buddy. Check local laws and maybe consult local humane societies if this seriously becomes something you want to do.