This is by design, and the reason for it is App Thinning, which was introduced in IOS9 (i believe). All apps now are universal (iPhone and iPad). App thinning makes sure that you only download the piece of the app that you need for your specific device. So, if you download an app to your iPhone, you only get the iPhone part, and therefore you can't sync that back to iTunes, because you don't have the "complete" app. You can, however, download the apps to iTunes first, and sync them back to your devices, because the "complete" app is downloaded to iTunes.
I don't like it either, because I usually download updates to my iPhone, and that leaves me with having to download the app update twice. I'm probably gonna quit keeping the apps backed up in iTunes, because the only time that you really need them is when setting up a new device or restoring as new, and it's not a lot of trouble to just re-download them.