You are right, you didn't find Jesus living in the Methodist church...But you err, you didn't find Jesus living in the Catholic church either...
Luk 17:21 Neither shall they say, Lo here! or, lo there! for, behold, the kingdom of God is within you.
2Co 13:5 Examine yourselves, whether ye be in the faith; prove your own selves. Know ye not your own selves, how that Jesus Christ is in you, except ye be reprobates?
It's not a Protestant thing...It's a God thing...It's a Jesus thing...