I have had a few messages (ironically) about the message system, and so I have done a little checking up. Each member has three folders:

Inbox - No surprises, this is where the messages come in.

Outbox - This holds all messages that have not been opened by the person that you sent them too. This means that you will know who has read your messages, and also it allows you to edit messages before they are opened by the other person. If you delete messages from your Outbox, the recipient will not get them at all.

Sent messages - These are messages that have been opened and read.

This is an unusual system, but I can kind of see the point with it.
I hope that this clears up a few things.

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