Messages.app not downloading messages send/received on iPhone
I'm not sure it will even attempt to distribute messages to all possible destinations once one has definitely received it. 

I had a similar issue last year when my phone would be out of range for iMessage for most of the day, but my Mac at home was happily picking them up - I didn't see any of them til I got home :(

See How to tell Messages &quot;I&#39;m not at home&quot;? which is similar, but the opposite way round.
None of the proposed solutions worked for me at the time - perhaps would be different now I'm on Yosemite, but I won't get chance to test unless I get the same job this summer, in the same out-of-range location.