Took me a while to find it. I don't know why it isn't defaulted. In fact I don't even know why it's there? Save space? we aren't in 1990 anymore. Besides I can almost guarantee the BBS software will save it anyway and just mark it as "unsaved" (it's sitting in someones Inbox on the same system after all!)
Even after I knew the tickbox was there the natural "muscle memory" of posting is such that you go and click "Post" when you send a PM with the box defaulted unticked

Quite why anyone
doesn't want a record of their PM's is utterly unknown to me?

Dave - change the default to YES, or just get rid of this absurd option anyway!