The FM modulator in GnuRadio (as well as other modulator blocks) work in baseband: the carrier frequency is 0 Hz.
Maybe you should recall that, when working with SDR, you work with complex-valued samples. This means that positive and negative frequencies are distinguishable, and having a carrier frecuency of 0 Hz is perfectly valid.
When you send this signal to an actual SDR hardware, you specify at which frequency will the baseband signal be modulated.
So, to sum up, the carrier frequency is specified in the SDR (source or sink) blocks. The FM modulator only needs the input samples (real-valued), and the sensitivity (which is proportional to $f_\Delta$, according to the documentation).