I don't know if it's done on purpose or not but it seems that when you send a private message, it is not stored. Or at least it doesn't show in the outbox. I can see them in "All messages" but when I click on one of them, I get to a page saying "No messages...".
voila, not the end of the world but just to let you know
EDIT : I just figured out that there was a nice checkbox when sending a PM to save the message in the outbox ... and there is also an option in the profile to have it checked by default ... so everything works fine, I just had to open my eyes
... maybe a moderator could delete this useless message