Technically it doesn't 'go' into either of them. It goes into your messages and is saved to the phone, where those apps access it. If it isn't saving them to the phone, then it could be caused by a few things. If you changed the settings in messaging to not save the images or not download them. If you ran out of space on the device. If you changed the location of your photos to the SD card and that is where the apps look for them, however message sent photos are on the device, so not being seen by the apps. There are a few other ways this can happen too.
So what happened exactly?