I have exactly the same problem with my N95 but I can't really say when it started. Suddenly I just noticed my phone didn't save sent messages anymore and hadn't done it for some time, but can't really tell after what it started to occur. Really strange problem, not even reseting back to factory settings helped - after I put "receive report" option back it stops saving sent messages to sent folder. Actually if I go to "sent" folder quickly after sending the sms, it shows there for little moment before disappears. Really strange. I couldn't google any other information about this problem than this topic.