Hey Dan I just noticed this today, but whenever I send a private message out it never gets saved on my "Sent Items" inbox. Looking into it I found out you have to check a little box that says (Save a copy of this message in your Sent Items folder.) under Miscellaneous Options every time you want to save the sent message to your "Sent Items" inbox.
Can you just change it so that it automatically clicks on that option? Whenever I email someone I always like to have a copy of what I sent. Same goes for forums.