Yes there is a setting for that. I had just that issue sometime ago. Maybe it was in the USER Profile. I will go take a look and see.
Best
JA
EDIt: Here it is ......
1. With yourself logged in Click on your user name SCREEN TOP RIGHT
2. Click on "User CP" SCREEN TOP LEFTish
3. Click on "Edit Options" SCREEN LEFT Your Control Panel
4. Scroll Down to "Messaging and Notification Block / Private Messaging" and SELECT /Tick "Save a copy of sent messages in my Sent Items folder by default"
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