Might want to check to see if the "Sent Items" tab is working for you. Mine does not show my sent messages.
See the instructions in Red on how to enable saving your sent PM's:
Personal Messages CategoriesThere are three categories on the Personal Messages page, each of which incorporates a number of different functions.
MessagesNew Message - Select this if you want to create a new message to send to another user as explained above.
Inbox - Shows all the messages currently in your inbox. The options for this can be changed as explained in the Personal
Messaging section of the Profile page.Sent Items - Shows all the messages which you have sent to other members of the forum.
Sent messages are saved automatically only if you select the option "Save a copy of each personal message in my sent items by default" in the profile options. Otherwise, it is necessary to select "Save a copy in my outbox" each time when sending a message.ActionsSearch - Selecting this allows you to search your received messages in a similar way as using the advanced search function. You cannot search your sent messages.
Prune Messages - This allows you to delete all messages that are older than the specified number of days.
PreferencesManage Labels - Selecting this allows you to add, edit and delete any labels which you have applied to your messages.