Is it possible that this has anything to do with the data disconnect issue reported in these forums? I don't think it has anything to do with Go as the messages are still pulled in by your stock app and Go is just a portal to send/view/receive through (I think). To check this, go into your stock messaging app and see if you don't see the same message.
Someone correct me if I'm wrong but don't MMS come through the data channel, unlike SMS which use the GSM channel? For example, my brother has a limited data plan so a lot of the time when he is at home he will turn his data off to make sure he stays on WiFi and doesn't fall back onto cellular. If he receives an MMS while his data is off all he gets is that notification y'all are talking about. Once he reactivates data it will SOMETIMES pull the MMS down but on many occasions it will not.
So, if you were experiencing the data disconnect problem when the message was first sent and you fiddling with the phone reconnected the data and the message was resent you would receive it.
Just a few thoughts to chew on