Notification While Using Text Message Forwarding

Ok, I about lost my mind figuring out why my iPhone wasn't notifying me when I received text messages. I finally figured out it was because I had text message forwarding turned on for multiple devices: MacAir, iMac, and iPad. To get notifications on my phone I had to turn off message forwarding to all my devices.

Are.You.Kidding.Me!!!

Am I crazy, or does seem to completely defeat the purpose of having linked devices? If so, it seems like a major design flaw. Is there some way to continue getting notifications (including sound) on all my devices if I'm logged in to them? I remember a day when a message would come through and multiple devices would notify at the same time. Sure, it was a little annoying. But this system has me constantly missing notifications when I only have my phone on me and am away from my other devices that are still logged in.

A little help?