Good question.
The behavior of the PM system on the board is not exactly analagous to, say, a corporate e-mail system where messages are put into your "Outbox" and then immediately get moved into your "Sent Items".
When you still see PMs in your "Outbox" it means that the recipient has not yet received them... this gives you the opportunity to recall and delete them.
When your intended recipient reads your PM then it will show up in your "Sent Box".
Hope this helps.