There is a setting in the User CP that controls this, and it is "off" by default.
Go to the User CP, and and select the "Edit Options" from under "Settings and Options".
On that page, the very bottom setting in the "Private Messaging" box (part of the "Messaging and Notification" section, there is a check box labeled "Save a copy of sent messages in my Sent Items folder by default".
Based on your post, you want to make sure this box is checked.
Comments
There is a setting in the User CP that controls this, and it is "off" by default.
Go to the User CP, and and select the "Edit Options" from under "Settings and Options".
On that page, the very bottom setting in the "Private Messaging" box (part of the "Messaging and Notification" section, there is a check box labeled "Save a copy of sent messages in my Sent Items folder by default".
Based on your post, you want to make sure this box is checked.
John R.