Just saw this problem for the first time today, and I've used Mail.app ever since Apple's Claris Emailer folded, and I've used iCloud all the way back to the beginning of mac.com. I often send large attachments, and often review my Sent folder (for keeping track of billable time; I'm a lawyer).
To a lawyer, this inability to have copies of sent emails is a fatal problem.
I called Apple, talked to someone who seemed pretty knowledgeable, but who was completely stumped by the problem and said he would have to take it up with the engineers. I was especially unnerved that, working directly from iCloud.com thru Safari, and on the Apple tech's step-by-step advice, we reset Mail's preference to save sent emails to a new folder, which I named "Sent 2," and that test failed also. The sent test message appeared in the old "Sent" folder, not the new "Sent 2" folder.
I had one of the recipients of the ghost message reply back to me, and the reply clearly shows both the time my original message was received and the account it was sent from. I can't believe this is really happening. Not sure where to turn now.