As of 1.14.4 I have on my game and videos of other players' games that pets do not seem to be teleporting properly. They will still try to make their way to the player but their teleportation doesn't seem to happen when the player gets too far ahead resulting in the pet getting left behind. I have personally seen this happen with tamed wolves (which is bad especially when they hit because they move at a snail's pace) and parrots within my own survival world. Tamed cats seem to work fine however so I doubt this bug affects all mobs that can teleport to the player.