For the private messages, be aware that there is an "inbox/sent" option in the top middle of the page.
When you first click on "Private Messages", it takes you directly to your inbox; however, you have a choice to click on the "sent" box to see what PMs you have actually sent.
Conversely, when you reply to someone's PM, you are still in the "sent" area afterwards and may want to click on "inbox" to see that you actually replied to a PM. Once you reply, the incoming PM is marked (replied) next to it.
Figuring this out has helped me a lot!