Forum Private Message - Is it working?

I've attempted to send a member a private message and was informed that it was sent but when I go to my controls panel and click on "Sent Items" there is nothing there and on the right side it says that my folders are 0% full.

I'm pretty sure it is working.
Note: By default sent messages are not saved, you need to select that option before sending the message.

OK, it is working, the fact that the message was not saved and this was not clear to me left me confused.