Yours is the twin of the 99-07 crew cab pickups, right? IIRC, the XM module is on the passenger side, underneath the knee bolster, under the glovebox. I haven't removed mine, yet, but plan to (so if yours isn't there, hit me up. It'll be yours for shipping). It's thin, and about 4" x 6", IIRC (smaller than the OnStar module).
On my Sierra, the HU has a specific 'XM' button or two on the face, IIRC. I do know for a fact that when you cycle through the 'band' selections, 'XM' appears on the display. So I have the HU and the module (I plan on using neither, but kinda want to hold onto the HU in case I ever sell the truck).
I've had the HU out about a year ago, and I know there's nothing visible on the radio chassis that would suggest an XM daughterboard in there, etc. Nor do I remember a second XM-specific antenna lead. I can get to it quickly if you want me to check / grab a photo - I have the dash bezel off right now.
My truck has the Bose option, so there's a sub and amp under the center console (you may / may not have same, since you have the rear seating / interior panels -- pretty sure GM puts the sub there, in all SUVs of that vintage, and the amp may be back there, too)
You should also have the small antenna on the front roof (I forget which side; mine has the XM antenna on the one side, and the OnStar on the other. One of these days, I'll take them both off and fill in the holes. Emphasis on 'one of these days' (so I can't throw the antenna your way, either... sorry)