I am currently running Mail.app on ML.
My Mail.app and iCloud webmail settings were already congruent with those recommended regarding saving a copy of the Sent emails [Store sent mail upon the iCloud server].
Despite this being the case, I have found that Sent messages were not been getting saved reliably in Mail.app or upon the iCloud webmail interface.
Some did get saved though - rather odd.
I don't want to call my reported email problem as fixed but it seems hardly coincidental to me that once I had chosen to unflag Store deleted messages [Trash section] upon the iCloud mail server that such messages as were sent form my two iCloud addresses messages began to be saved reliably.
Surely this is indicative of some underlying misconfiguration with the iCloud server itself as Trash messages clearly aren't Sent messages and yet messages only began to be reliably saved once I had chosen to unflag Store deleted messages. As previously stated, I already had my mailbox behaviours set to Store Sent messages upon the iCloud server, but this proved to be of no avail until I chose to unflag Store deleted messages.
See attached picture for Mailbox Behaviours.