There have been a few occasions where I "knew" I had sent a PM, however the recipient didn't receive it.
However, when I checked, the message hadn't gone, maybe the forum was slow or I'd quit the page too early - lack of patience....
How did I check? You can get the system to save copies of all your outgoing messages, so if you don't have a copy of it then it didn't go.
To set this up, select "Profile" from the menu at the top of the screen, then select "Personal message options" from the menu on the left. Next, in the window that pops up ensure that the box against "Save outgoing messages" is ticked and save the update.
It will still be annoying if the message doesn't go, but at least you'll know!
- tenpin