WinUser, I get the same thing, kinda.
Sometimes the notification pops up and the number of the live tile is displayed but when you go into the app you don't see the message.
It seems to (sometimes) take a bit of time for the message to appear. Generally, while in the app, it will pop up within about 10 seconds or so, it might be something to do with the data connection (which is odd since the notification got through).
Not sure why it does it, but it's annoying.
On a side note, Whatsapp and Kik seems to drink the battery if left running in the background. Is that anyone elses experience?