Im going to guess they cut them behind the head unit. Its not hard to get the head unit out to look, though be careful that the little metal clips that hold the dash trim in dont go missing - you'll never find them again.
If its not there then they may have cut into it behind the glovebox. I would take the alpine unit out and have a look-see in case you can find it from there. You could hopefully trace the wires from the dvd unit to the connection. I dont think its a fun job to pull out the glovebox.
Regarding the switch, i would only put one in of you need the dvd player and aux at the same time, and you wanted the the DVD sound to play through the stereo sometimes, otherwise just splice an Aux connection in and/or cut the dvd connection.
For pics and stuff on wiring in an aux connection check this post:
http://www.aulro.com/afvb/showthread.php?p=2480291
Its a different head unit but its a similar process. It also has a link to a video for dash trim removal too.
Best of luck!
Cheers
Dan
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