Please make sure the message you received is SMS. SMS Gateway app can only read SMS messages right now, so any other type of messages won't show up in the app. You can check the message type as shown below.
Turn off RCS. If both Sender and Receiver have RCS turned on and receiver uses messaging app to reply to your SMS message. It will be most likely RCS message which this app can't read.
It can be an issue with sync failure. In that case, the app will try to sync it again after some time or with the next message, whichever happens earlier.