^^^ Hello, 'Send message' button sends the message, the 'save a copy' setting has no impact on that, it's just a choice to keep a copy if one so wishes.
& see 'Help' in the main meny for all the options available in Personal Message, quote:
"To view sent messages, select "Sent Items" under "Messages" in the button menu or left side panel. A message is saved to "Sent Items" only if the option Save a copy in my outbox is selected when sending a message. This option can be set as default in the Personal Message Options section of the Profile. "
edit: added snip from profile setting.