See, that isn't true anymore.

Starting in 6.1:
PMs that are sent are kept in the outbox.
PMs that you reply to should be kept there as well, since they're just like sent PMs.

Key part in that answer is "starting in 6.1" which means you have to be running beta software at this point...

(And now moving to 6HDI since UBB5 doesn't even have PMs).