I type up the PM, press send and it goes to my outbox and just sits there - never actually sends and eventually just disappears off the system. I have tried marking it and saving it, and it doesn't save either. Odd.
Sits in your outbox until the recipient picks it up mate. Transfers to your sentbox after that. Don't want to pee on your chips but it sounds like the person you're PMing is just deleting it without reading.