Sent items not visible?

[MrPeanut]

I thought I had sent a private message to another user a couple of days ago. But when I looked in 'Sent Items', there was nothing there. So I assumed I didn't actually send a message.
So I just sent another message and immediately looked in my Sent Items to see if it would show, but nope. Nothing.
Why does 'Sent Items' not show my sent items?

 

[chicago]

Easily fixable in user settings

 

[MrPeanut]

Easily fixable in user settings

You're the best