As Yo Hoot said you need to check the box to save a copy when you compose your PM otherwise a copy won't be saved. The original default was to save a copy of your sent items and to request a read receipt. The problem was that people would fill their mailboxes with sent messages and read receipts and then not be able to receive messages because their box was full. We changed the default to not use those features after that. We used to get several emails a day for support on why they couldn't receive messages and we'd have to explain that they had to delete the sent items and read receipts. Since we changed that default we've had this question maybe 10 times.
-Steve St. Laurent
Webmaster