I have come across this as well and it seems that the sp_statement_started and sp_statement_completed do not return individual statements within a stored proc. As Lynn suggested, it is in fact returning one row for each statement within the proc but sp_statement_started and sp_statement_completed is only returning the sql from the outside proc that stated the batch. I do believe this has changed in 2012 but haven't revisited.

here is a post from Jonathan Kehayias (http://www.sqlskills.com/blogs/jonathan/understanding-the-sql_text-action-in-extended-events/) kind of describing the same thing for the sql_text action.

here is my post from last year asking about the same thing(http://www.sqlservercentral.com/Forums/Topic1294710-391-1.aspx#bm1295378)