SQL Server Log Shipping: Copy copies 0 files (This is SQL 2014, but applies to several recent versions)

I had the SQL Server log shipping wizard create the script for the primary and secondary. Since the primary already backs up logs every few minutes, we did not run the script on the primary.

We ran it on 2ndary, and set up all the proxy accounts, etc, so that files can be copied.

The jobs run. Issue is that the copy job... never copies any files... even though there are files there. 

We confirmed that when we run a cmd prompt as the same user (the proxy user account) that we can see the needed files on the remote location (to copy to the local location).

Message
2015-02-11 01:50:08.00  Checking to see if any previously copied log backup files that are required by the restore operation are missing. Secondary ID: '72ac3286-f3cb-4f80-a8a4-368e3b38e502'
2015-02-11 01:50:08.00  The copy operation was successful. Secondary ID: '72ac3286-f3cb-4f80-a8a4-368e3b38e502', Number of log backup files copied: 0
2015-02-11 01:50:08.01  ----- END OF TRANSACTION LOG COPY     -----


How do we kick the secondary so it starts copying files?
The cause is not clear, but the solution is: get full connectivity between primary and 2ndary and use the sql server wiz to set up log shipping

that works.

Update:
I should add that this solution stinks. The log shipping wizard should be more flexible, and allow me to set up the pieces myself. (E.g. I may use some other method to move the log files, etc.) Given how easy it is to set up an RO mirror of Redis, Mongodb, etc, SQL should be much better than it is now.