There is a file named PMAIL.USR which is located in the root mailbox folder. This file contains the list of local users (mailboxes) that Pegasus uses to identify local users and distribute mail directly to a local user mailbox. You should be able to see the list of local users by using the Addresses|User management menu option in Pegasus Mail. If you don't see a list of local users then there may be a permissions issue. In order to send local mail you need permissions that allow you to read files in the root mailbox folder and permissions that allow you to write to each mailbox folder.
If this doesn't help you sort it out provide more details about the location of the user mailboxes and also provide us with the Pegasus Mail installation information (copy and paste the contents of Help|About Pegasus Mail|Info button.