Didn't know if I should put this here, but sent PMs do NOT appear in the SENT box on either IPB 2.0.3 here, or 2.0.4 at XS....also happens elsewhere.
Thought I should inform you of this bug, maybe see if it's been fixed since 2.0.4 at least.

If this isn't a bug and it's just my personal settings, which I never remember having anything set to not store sent messages......be nice and just tell me so.

No, it's not broken. Whenever you compose a message, you have to click "Add a copy of this message to my sent items folder" for it to go in there. It's at the bottom under "Options" in the compose message screen. Otherwise, it won't do it by default.

plus, keeping a copy of sent pm's can fill your pm box quicker

Well it used to work by putting a copy in your "Outbox" folder until the other person recieved it, then it would get put in your "Sent" box, unless you specified otherwise in your settings. You can't even change PM settings in 2.0, so you'd have to check that box EVERY time.
They sure did change it enough in 2.0.......