We had a default setting where all private messages were saved in your 'sent' box unless you specifically unticked the box at the bottom of the PM message screen that said 'Save a copy in my sent box'.
Saving sent messages saved can fill your PM box quota very quickly and it's easy to forget to untick that box.
So...we've changed it around. The default now is for a copy of your message to NOT BE SAVED AUTOMATICALLY. If you wish to save a copy of any message to your sent box, you need to remember to tick the 'Save a copy in my sent box' before you send the message.