What I mean is that when I sent a "quick reply" it didn't seem to go through. I had to click the "Reply to Private Message" button and send the message on that screen instead for it to send properly.
The way I'm explaining it may be confusing so here's some screenshots of what I mean.

Is the screen that won't work. There's no option to keep a copy in the "sent" folder here either. But that shouldn't be necessary. Other BBCode sites normally show the full PM conversation on this page. But when I sent a reply here, the reply disappeared instead of being shown below the other person's PM.

Is the screen that works. It pops up after clicking the "Reply to Private Message" button that's in the first screenshot. This page has a "keep a copy in sent folder" option.