UPDATE:

   Working with Andy at Tech Support, we found that doing a Conversations->Settings->Account->Restore Messages-> Restore from Online caused my phone to re-sync messages with the server and the problem MMS message now shows up.  It looks like Android Auto/Ford Sync not being able to Play the incoming message somehow caused my phone to lose the message instead of completing the sync-with-the-server process.  Maybe they have an issue with MMS messages and I'll be monitoring my messages when in my car to see if there are SMS/MMS differences.  I've posted this issue on the Google Android Auto Forum to see what comes up there.

Maybe this will help others with similar issues.