That is correct, with the new 3.8 software the save sent PM's checkbox is now unchecked by default. Its a change that was made in the software and not one that I have made.
Yes, it's located down below the Submit Message / Preview Message buttons.
. . . . keep scrolling down and there are 4..5 check boxes in the section called: Additional Options .
You'll see.
Also, I asked the question about PMs the other day.
Guess I should have put it in the title of the post.
Hope others learn from my mistake.