Some dogs don't get the "fetch" game until they're older. My boy didn't fetch properly until he was about 8 months old. It's transitioning from chewing being the fun part, to chasing being the fun part, and realizing that if they give the toy back, you're going to throw it again.
For a while I was worried he wouldn't know how to fetch, and then one day he just did it. Now, I can throw things anywhere (large field, Lake Michigan) and he'll go out and bring it back. No "formal" training necessary.