It will not save any PM's sent unless you tell it to save them. Whenever you reply to a message, just below the box that you type your text in, there is a little check box asking if you want a copy sent to your sent items folder. If you place a check in the box, it will save it for you, if you do not check the little box, it will not. You have to do that with every reply you do if you want copies for your file...
