The reason behind that is depends upon the application creator to respect the proxy settings and use them or do the wrong thing and ignore them.
This is not the default behaviour; it could present some security risks. If all traffic could be redirected, users could have all of their traffic going through some bad proxy server that snoops on them so they default to only allowing apps to use a proxy if they explicitly ask for it.
So, make sure that all devices connected to Wi-Fi are allowed to the direct internet connection for specific ports.
For example
For WhatsApp, you need to allow direct internet connection on the below ports for all clients:
TCP: 4244,5222,5223,5228,5242
TCP/UDP: 59234, 50318
UDP: 3478,45395