This kind of connectivity is still a bit buggy, I'm afraid.
A similar example: with my combination of new iPhone 6 and iPad Air 2 (WiFi), the iPhone would never show up under the iPad's WiFi menu as a personal hotspot. Instead, I'd have to toggle bluetooth, select the phone and connect to it.
After toggling iMessage on the phone, and doing the same with FaceTime, things now show as expected under the iPad's WiFi menu, as described in Apple's documentation. The personal hotspot shows up under the WiFi menu, complete with the phone's signal strength.
We shouldn't need to resort to tricks like this.