When I'm connected to cellular and not WiFi my iCloud photo library doesn't download any thumbnails or higher resolution files.
I have enabled cellular under preferences > cellular for the Photos app.
When I enable Wifi, it works again. There is an exclamation icon at the bottom right of the photo when I'm over cellular, and nothing gets downloaded.
I had this in iOS 8 and after upgrading to iOS 9 beta the problem is still there.