Two solutions that worked for me:
I was missing some photos too in message threads. They had turned in to question marks.
Whilst in the message thread of the person in question, I clicked on their name at the top of the screen. On the screen that appears, there was the option at the very bottom of the screen to download pictures from iCloud. I clicked it and after a small amount of time (cellular, not WiFi), the pictures downloaded. Question marks disappeared. Result.
I repeated the above procedure for another message thread, but the pictures didn’t download for some reason. In this case, I turned off ‘Sync this iPhone’ in the Messages section of Apps Using iCloud menu, then turned it back on again (Settings>’Your Name’ (top of screen)>iCloud>Show All (in apps using iCloud section)>Messages>toggle off ‘Sync this iPhone’. I turned it off, waited a while, then turned it back on again.
I went back to the message thread in question and clicked download photos again. This time, it worked for the photos that didn’t download first time around.
Can’t guarantee this will work for you, but worth a shot. Best of luck everyone getting your photos back.