Where do I find a list of my sent messages?

I expected to find a list of messages I 've sent to other users recently via "main menu -> messages", but I find only a list of received messages there ...

The only way to see them is to ask your recipients to paste them into a message back to you. If you made a comment during a game move, you can see that again by clicking on that particular move, in the move list next to the game board.

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