Originally Posted by
Robotech Master
In both the anime and the manga, Gajeel didn't have issues with transportation until the grand magic games, in which he and Natsu, along with Sting, all have problems. Gajeel specifically calls this out as something he's never had before, and Sting tells him its something they all develop eventually.
So they don't have it all their life, but it seems to be something they'll get in the long run. Wendy being around 12-13 right now means she probably hasn't reached that point yet, and Artificials might not have it.