I've sent a couple pm's and i just looked in my sent folder and its empty, are my messages not being sent or are they just not going to the folder?

I don't see any issues on the site. Not that I can look in your PMs

You may have your setting set to not save sent PM's

That is how I have mine setup so i don't fill my box, and if I need to save a sent one, I just click the save box and it saves it before I click reply.