Why do I always have 0 sent messages?
Are people getting my PM’s?
IIRC you have to select something to have it save the message to your sent items. I ran into that problem a couple years ago.
EDIT: Yep, in the options at the bottom. Although if you have been hitting that then I guess it’s broken.
Ahh. Thank you! 
Yep, your messages get sent, but for some reason you have to opt-in to keep a copy of your message.