Only one copy of the PM is kept in the database. If it is deleted, it is also deleted from the sent folder of the person who sent it (since it is technically the same row in the database).
That explains it then.
However if there's only one copy of the PM in the database then it must also work the other way where if the sender deletes his "copy" then it's also deleted from the Inbox of the recipient.
I guess if you want to save something from a PM then you need to make sure you archive it elsewhere.
