I just reviewed your preference settings you have set up on your profile page.
For option "Save a copy of sent messages in my Sent Items folder by default". You did not select that option.
To change that, go to your user CP.
Under "Settings & Options" click on "Edit Options"
Scroll down to " Save a copy of sent messages in my Sent Items folder by default" & check to highlite the box.
Then continue scrolling down & click the "Save Changes" box.
"Saving the World....One Ford Truck at a Time."