This forum is the best place since it is an IDEs question. While I'm not an expert with NetBeans, I've noticed it doesn't always show all files in the IDE. Is it possible the file is there on the filesystem and the IDE view just isn't showing it?
In the most recent servlet spec the web.xml is optional. Perhaps if you chose an earlier spec number when creating your project it would show up. And besides, you can always create one yourself (there is nothing "magic" about the one that the IDE creates).