You should also check to see you have the option to save a copy of your PM by going to User CP > Edit Options > Private Messaging > then make sure the box "Save a copy of sent messages in my Sent Items folder by default" is checked.
2017 Escape 5.0 TA
2015 Ford F150 Lariat 3.5L EcoBoost
2009 Escape 19 (previous)
“Most folks are about as happy as they make up their minds to be.” — Abraham Lincoln