You need to specifically tick the box to have a sent PM saved in your sent items folder. I am not sure if you can change that in your global preferences or if you can only do it on a PM by PM basis.
You have to change this in the "Edit Options".
One of the options is
When sending private messages the forum can make a copy of the message in your Sent Items folder. Save a copy of sent messages in my Sent Items folder by default
