Here is part of get_updates code from SGD from keras(source)

moments = [K.zeros(shape) for shape in shapes]
self.weights = [self.iterations] + moments
for p, g, m in zip(params, grads, moments):
    v = self.momentum * m - lr * g  # velocity
    self.updates.append(K.update(m, v))

Observation:

Since moments variable is a list of zeros tensors. Each m in the for loop is a zero tensor with the shape of p. Then the self.momentum * m, at the first line of the loop, is just a scalar multiply by zero tensor which result a zero tensor.

Question

What am I missing here?

Yes - during a first iteration of this loop m is equal to 0. But then it's updated by a current v value in this line:

self.updates.append(K.update(m, v))

So in next iteration you'll have:

v = self.momentum * old_velocity - lr * g  # velocity

where old_velocity is a previous value of v.