Ok, I'm not nuts after all.
That "keep a copy" option has to be ticked every time you send a PM, which is why it keeps turning off and why I didn't notice it because it's typically out of view on that screen unless you scroll down a little here.
Shouldn't it persist or is that just how the forum software is setup? Seems to me that any kind of correspondence should default
(if there is a default to do anything) to keeping a copy of your correspondence.