Magento does not capture orders after payment

I am using Sage as the payment method (which shouldn't matter anyway). Sometimes my installation of magento (1.9.1.0) will take the payment but will not create a new order.

So basically, the new customer is created, but no order is assigned! So I will need to login my Payment provider to check for orders.

1. Why is this happening? Server issue? If so, what can it be?
2. How can I capture manually after such an event?

I need the buyer to see method of payment "Sage" on the invoice, however, when I add the order manually, the only way I can do it, is by selecting Pay Over Phone or Bank Transfer.

I really thank you for any suggestions! Appreciate it! (A LOT!)

Thank you.