OK. I sent another PM, nothing in sent folder. I general settings I looked and it was back on don't save. Put it back on save in sent folder. Went back in through general settings and it was back to don't save in sent folder. Guess I've still got some leprechauns in me APUG.
What OS and browser did you say you were using? I can't seem to reproduce the problem.
i just checked your account and "Save a copy of sent messages in my Sent Items folder by default" is set to "yes", maybe you are having a weird caching issue on your control panel page. You could try a ctrl + F5