When you send a pm it goes into your outbox, when the recipient reads them, they move to the sent box. If a pm is in the outbox it means the recipient hasn't bothered to read it. No one else reads pms.
I think it makes sense on the point that if something is in your Outbox and you've realised "Fk, I didn't want to send that/sent it to the wrong person" then you can delete and hey-presto, the message never arrives.
Of course, sending people PMs then deleting them from your outbox can cause the receiver no end of confusion, as they get a "you have mail" notification (if they have that set up on their e-mail) and then no new PM in the box to look at.
And if you have on-going problems - [email protected] and let us know user name, problem etc. and someone can look at it.