Yes, we disabled that option by default because people were filling up their private message boxes with sent PM's and didn't know why - it was because they were in their sent folder. We used to get several emails a day regarding it. So if you want to save a copy of a PM when you send it there is a box at the bottom that says "save a copy" that you need to check. You can also check the "request read receipt" box if you want to see if someone has read it.
-Steve St. Laurent
Webmaster