They were most likely sent, the default settings for PMs are to not save sent messages in your sent folder.
There are two ways around this, when composing a message at the bottom there is a check box to save it to your sent box. Or you can go
through your user settings and change it to always save it to your sent box. Under general settings it will say "Save a copy of sent messages in my Sent Items folder by default", make sure that is checked.