I think you're assuming that because you don't have an archived copy of said sent message that it didn't go through.
To check, and possibly change your options, go to User CP, click Edit Options under Settings and Options, and scroll down to the section entitled Private Messaging. Therein lies an option that states Save a copy of sent messages in my Sent Items folder by default. If it's unchecked, you won't retain a copy of what you sent. Check that, hit Save Changes and you should be good to go.
If that's not the case, I don't know what's wrong.