I like iMessage, but it can be confusing. I send a message from my Mac or iPad and replies show up in my iPhone, iPad, and Mac. If I left the sound on for all my devices it becomes caucauphonus.
Any device that you have set to respond to certain addresses will indeed be receiving the message. The whole point is to have some fluidity between devices, so you can start a conversation on the couch with your iPad, and then move to your phone when you are walking down the aisle at the grocery store.