I just sent a pm and the webpage displayed a green confirmation textbox that the message was sent to the user. But when I click on my Sent Items panel it's empty. Same goes for all the other pms that I'm certain I never deleted; maybe they were too old.
I think I solved my problem though the pm I already sent won't be in the Sent Items. Apparently there is an option in the Change Settings called "Save a copy of each personal message in my sent items by default." This was of course was not enabled by default.