Casper-
For the situation you're describing, yes, it sounds like you'd need the email to arrive at your Mac, where OmniFocus would process it and turn it into an action.
It would show up on your phone after the Mac pushed the action to the server and the phone grabbed it.
I can't remember another request we've gotten for the ability to turn an email into an action on the phone; you should email this to the
support ninjas so they can add this to the development database.
What I generally do if I get an email on the phone and need to do something about it is just use the "add new inbox item" button in the toolbar to drop a reminder into the phone app, processing things more fully when I'm back at the desk. Not suggesting that's ideal, just letting you know what I do. :-)