So, I know I've sent a couple of messages (1 reply and 1 new message). When I went to the Personal Messages->Sent Items it shows that I have "no messages"? Is this a forum bug?
No, Tony - it's user-selectable. If you want to save a copy in your outbox, you need to click on the check box, at the bottom of the page when sending a new message, that says "Save a copy to my outbox." If that is unchecked, you won't have a copy.