I believe that by default it does not put a copy in your "Sent Items" folder.
There are two ways to fix this. First is an option for your account control panel (My CP-> Settings and Options -> Edit Options). In that option list is a checkbox to have it place a copy of messages in your Sent Items folder. Either that is off by default (odd behavior) or it was turned off for me somehow. I would always catch me out until I found the option.
The second allows you to have that turned off, but to enable it on a per message basis. When sending a message use the "advanced" interface and near the bottom is a section called "Additional Options". In that section is an option to check that will save a copy of that message into your "Sent Items" folder.
If the option was turned off previously, you will have no copies of those messages.
Hope this fixes your problem!