I am also having exactly the same problem like you! I am on an iPad Mini though, but also with iOS 8.0.2.
it is clearly a bug. I also do not back up to iCloud, but only to my Mac. But I also do not back up to iCloud my iPhone 4 (iOS 7.1.2) and my iPod Touch 4 (iOS 6.1.6), yet my iPhone and my iPod shortcuts work like clockwork. I never had any problem with either! When I add a shortcut to one device, it immediately shows up on the other. Occasionally, shortcuts appear on iPad, but when it is not working on a mail or message I notice the shortcuts have disappeared from Keyboard's Settings.
Just for the sake of being a different iOS, I did a back up of everything on my iPad, including documents and data, to iCloud. I figured it would fix the issue, but it did not.
When I turn iCloud off and then back on, shortcut seems to reappear, but it is not a sure thing. Some times it does not reappear right away.
My suggestion is:
Send feedback to www.apple.com/feedback/iphone
or ipad, if it is what you are using (or google apple feedback for your issue)
Perhaps if enough people do report this problem, Apple may take action sooner than not.