Not sure about this forum in particular, but in general sent PMs are not automatically saved. You need to change the setting in the Edit Options section of your User CP page. There will be a checkbox saying something like "save copies of sent PMs" you can tick.
User control panel, settings and options, edit options.
Halfway down the messaging and notification box, check save a copy of sent messages in sent message folder.
Chuck
User control panel, settings and options, edit options.
Halfway down the messaging and notification box, check save a copy of sent messages in sent message folder.
Chuck