Why are notifications on MacBook Pro slower than on an iPhone?
This seems to depend on how your Notifications are configured. If you have your notifications set to Banners, the order will be Watch first, Phone second, Mac last (if unopened on Watch and Phone). If you have your notifications set to Alerts the order will be whichever device is open currently and then the rest of the devices will not receive the alerts. Thus if your Mac is open you will receive an Alert and none of your other devices will receive it. However if you have Banners on then the notification will flow down the line of iOS devices until you open it.