You are not alone.... I have been complaining about how bad apps are on Windows Phone but I always got labelled as a troll by the WP fans.
Messenger on WP is just total train wreck, especially on slow network. I received toast notification much earlier than the actual messages arrived. In other words, receiving the notifications do not mean that the messages are already downloaded. How ridiculous is that?! Opening every chat thread require downloading of messages - even with the latest ones. Does the app even cache them or something??
I really hope we can get a port over from iOS / Android for Messenger and Facebook apps.