Yesterday I tried sending a private message, thought I pressed the right button, but see nothing in the sent items folder. Bug? Wrong button? Strange!
I believe you have to change the default before the system automatically saves outgoing messages. It is under general settings. I believe I remember changing it over.
Yup, User CP -> Edit Options -> Save a copy of sent messages in my Sent Items folder by default.
I remember others commenting on that in the past, so I just went through and changed all users to have that set as a default. Let me know if it shows up for you.