When you click on private messages under your name. Then you should see the box that says folder controls. Then it says inbox contains 20 messages. Then Jump to Folder and a box that says inbox. You can change that sent messages by the little arrow on the right of inbox next to the word go. Then you should be able to see your sent messages. I will also double check to make sure all your info is turned on.
Edit: Everything is turned on so they should be in your file.