A new option has been added that allows you to default the value to save your private messages to your "Sent Items" folder. The default at this time is to not save PM's you send out.
To enable this option you need to go to UserCp and then Edit Options as shown in the picture below:
Now find the "Messaging & Notification" section:
Once you find that section, go to the last option of the section and you will see a "Save Sent Private Messages" (The title has been updated since the screen shot):
Check the box to save your sent PM's or leave it unchecked to not save your sent PM's. When sending out PM's you will notice below the text area if your PM will saved tot he "Sent Item" folder by the following:
If you have any questions or concerns please let us know.