You need to change folders via the pulldown the right side of the page labeled "Jump to Folder:" and change it from INBOX to SENT ITEMS or MESSAGE TRACKING. You will see a bunch more messages in those folders which is why you are having the problems.
The PMs track sent messages as well as if a member has looked at your PM. These need to be cleared out as well as your inbox.
Let me know if you are still havng trouble.