The "My Messages" seem to be a bit hit and miss.
Somebody sent me messages, after I sent them a message. They mentioned they had to send me a message twice as it appeared it did not go through the 1st time.
I responded to the person, also received a message, but clicked away before fully reading it.
There doesnt seem to be a "sent" link where I can see all my sent PM messages so now I'm having the same situation as the person that sent to me in that I dont know if the message was sent or not.
EDIT: Reworking the inbox URL to manually type sent, shows me a message I sent. From here I can see that the other message I sent, does not appear here so it was obviously not delivered