Go to your UserCP (red bar at top of page). On left side go to Edit Options. Toward bottom of that screen click check box on "Save a copy of sent messages in my Sent Items folder by default." That way you can see PMs you've sent.
Also, make sure you're sending the individual a PM and not responding to a message left on your profile screen.
Thank you!!!
I would not have found that option in a thousand years lolo