This happens when you do not have the "Enable Sent Items Folder" option enabled on your webmail account.

1. To enable this option log into your webmail account.

2. Click on the Settings menu option -> My Settings. 

3. Next select the Compose tab, then tick the checkbox for the option "Enable Sent Items" Folder. 

4. Save it.

Note: The Sent Items folder will appear until after a message has been sent.