Facboook msg apps


I installed FB msg apps already.

I found that, if I power off my mobile ,and if someone send me FB msg in this period.

Then when I turn on my phone later, the msg will not auto show the notification for me in the header.

I every time must click into the apps ,then it will show me some msg which is sent when I power off.

But If My phone is keep online, it is no any problem for this.

anything I Need to setup? thanks