My setup: iOS 8.4. on an iPhone 6, with iTunes 12.2.0 on a 2015 13" Macbook Pro
In my case, my three most recent purchases from the iTunes store *did* show up in iBooks. And (after much fooling around with AppleCare Support techs) it is also now clear to me that iBooks synch's w. iTunes on the Mac side, and those books transfer as commanded by my instructions in iTunes (on the Mac side).
But like others in this tread, none of my other, older purchases from the iTunes store show up in either iTunes (Mac side) or in iBooks (phone side). Much less any of the books that I generated from CD's using AudiobookBuilder. Those guys seem out there someplace in oblivion, apparently never to return.
By the way, the Apple support techs remain quite confused about this issue as of 7:00pm today (Thursday, July 7th). It took two techs a total of an hour to arrive at the fact that it's the iBooks app (not the "audiobooks" app that the first tech had me looking through) that I should be looking for to find my audiobooks. When we got to the correct app -iBooks- (which I've never used on my phone before... in three versions of the iPhone), it was clear sailing... at least for the three most recent iTunes store purchases. All others are apparently gone. That took over an hour on the phone with first a regular tech, and then a senior iTunes tech.
[Snarky comment alert] There's nothing quite like a software update to "improve our lives and our productivity."