Right you are, looks like Apple store messages (encrypted) til they're delivered. They then delete them, so the messages are only stored locally.
Here's how you'd transfer from one Mac to another:
1) Open Finder
2) Select 'Go' in the nav bar
3) Choose '~/Library/Messages'
4) Copy the entire Messages folder (it should have 'Archive', 'Attachments', and the chat database)
5) Replace these files on your new Mac with the old ones