I am not sure about the private message sent items. If you look at your Settings and then General Settings there are some options. One is titled: "Save a copy of sent messages in my Sent Items folder by default" which I thought was On by default so you should get a copy in the sent items.

Perhaps you have only just broken through the 5 post limit where you get to send PM's. I thought that before this point it would not have allowed you to even send one. But maybe the contact the guild counts as a PM for the purposes of the count.