It should be selecting that option to save sent PMs by default for new accounts now, but for whatever reason it wasn't for a while. I'm not sure how it got unchecked. I may have done it when people were complaining about the PM limit. If I did, it wasn't a very smart way to deal with the PM limit.
I'm sorry if you lost any important sent PMs as a result. You could always PM people and ask them to forward you any important messages you sent them.