I got my first PM today, and I replied, and in my inbox was the PM I had, and I got the whole deletion thing down, but in the "Sent" box, there was nothing. Do I have to do something special to get this to save sent PM's, or did mine not send?
Your PM probably did get sent but you would've needed to have checked the "Save Message in sent folder" box below the box to have your outgoing message saved.