Sent messages are not saved by default. It would be better if they were, but I haven't found a way to change that setting.
You have to either check the box on the message to save it before you hit "Send," or you can change a setting in your Profile section that will automatically save all sent messages in Sent Items.
You need to go here:
Forum Profile > Modify Profile > Personal Messaging
Then check the box where it says "Save a copy of each personal message in my sent items by default."
Don't forget to click the Change profile button on that page or the setting won't be saved.
