I have asked Nitrox about this previously, and he explained thus; After you type in your 'private message', and before sending, notice the boxes above the 'continue' box. They are "I want to keep a copy of my message", "I want to receive a read receipt", and "I want to preview my message".

Checking the first box will send a copy of your message to yourself, which verifies that it has been sent, checking the second box will send you a notification when the recipient opens the message.

I always use box #3 to preview and edit my copy.