That is because the default setting tells the system not to save a copy in your Sent Folder. Go to Profile and modify it as below:
Modify Profile
Account Settings
Forum Profile
Look and Layout
Notifications
-----> Personal Messaging
Save a copy of each personal message in my sent items by default. ---> check the box.
Perhaps the system designer thought this would save some memory space...but I have never come across any messaging systems -- forum or business/corporate -- that have a starting point like this.
