Lol, for me it was right the opposite - it downloaded more messages from the past.
Changing of settings might work - Messaging -> Settings -> Download messages through.
I had the same problem. Seems like some sort of glitch. I am sending my fourth 950 back to At&t with other problems. I think these phones have weird sim card problems.
They sync fine on my 930 when I select on all devices using the same fast ring build, but not on my main phone. Perhaps an update to the messaging app could fix this.
This is quite annoying, otherwise the build is working perfectly for me.