Hello jgutierrezmd305,
For help with missing data from iCloud when setting up your new iPhone, there is a very helpful resource you should reference.
About missing information after you restore your iPhone, iPad, or iPod touch with iCloud Backup
First walk through the section titled "Things you can check". Then read this information relating specifically to Messages:
About your Messages and Voice Memos data
With Messages in iCloud and Voice Memos in iCloud*, your text messages and voice recordings automatically upload to iCloud. They aren’t included in your backup. After you restore your device from iCloud Backup, stay connected to Wi-Fi so that your text messages and voice recordings can download.
If you turn off Messages in iCloud, your text messages and attachments no longer upload automatically, but they save in your next iCloud Backup and download in the background when you restore. Stay connected to Wi-Fi until the process finishes. The time it takes to restore depends on the size of your backup and the speed of your Wi-Fi.
Sometimes, if you restore a device from a backup of another kind of device, your Messages and Voice Memos won’t restore. For example, if you use an iPad backup to restore an iPhone, your Messages and Voice Memos may not appear on the iPhone.
If your information is still missing after you restore, you can try to restore from a different backup in iCloud or on your computer. Always back up your current data on your computer before you try to restore from iCloud Backup.
You'll want to make sure there is enough storage available on your new iPhone. Check available storage at Settings > General > About. You will also want to keep connected to your Wi-Fi network while it's downloading and syncing data. If you still have issues with missing data, you can also reach out to Apple Support directly. You can reach them here: Get Support
You can also find the support phone number for your region at this link: Contact Apple for support and service
Take care.