Why do only some images received via iMessage have GPS data?
If Location Services are on for the Camera.app, EXIF data will include GPS data. If it is not, it will not for photos that are taken with Camera.app. Location data can be inserted on an app by app basis. I tested, for example, Camera.app, and Camera+. The former had Location Services disabled, and the latter was enabled. As expected, the former had no GPS data, while the latter did.

Furthermore, photos that are downloaded from other services may or may not contain location data. For example, Facebook strips GPS data out of photos, while Photobucket does not.

Any testing I have done has been with an iPhone 5, and also an iPad mini.