Yeah, there's a check box you have to check if you want your private outgoing messages saved in your "Sent" folder. Next time you compose a private message, look around on the bottom of the page (after switching to "Go Advanced") expand the "Additional Options" bar, and there's a block with some options in it including "Save a copy of this message in your Sent Items folder." Once you've checked that box one time, all of your future messages will be saved by default (unless you later uncheck the box). But your message probably did make it through; I wouldn't worry too much about that.
Lots to be learned about the technical details of the site, as well as about polyamory itself.