cholzhauer,
Just have them press the Message Notification button again and it will scroll through the different devices messaging the phone. As far as the priority goes I would have to assume that it is first come first served or if anything the one that is associated with the phone would take priority; we have no way to make that determination.
The proper use of such a configuration is to use the Message Notification button, the one with the envelop, should be pressed while looking at the display and it will tell you where the message is coming from. If you press it again it will move to the next device that has message the phone. Once you get to the one you want then press # to go to that device.
Thanks,
TE