Very weird, I was editing the options earlier for PM's try sending me one to see if it works and if I can reply. For some reason I don't have any sent messages either even though I've sent some, but I do still have my inbox messages. My satistics say you should have 3 and 1 as you say, you made sure you haven't got a filter applied at the bottom of the inbox page etc?
Edit: Just noticed the default setting for users is to not "Save a copy of sent messages in my Sent Items folder by default" you can change it under your settings.
Everyone remember to look under your settings and profile settings and update accordingly
Rich you have to chance settings to save copy of sent PMs yourself. I noticed that when i explored new site and checked options. You can fix that by clicking Settings from right up corner of screen, then click General settings. Find "Send private messages" and choose "Save a copy of sent messages in my Sent Items folder by default". Go down and save changes. => Problem solved