That seems to have solved the problem.  Thanks.

In the Tools/Options/Copy to self dialogue there are two boxes, enabling to decide at time of sending if a copy should be sent to the Copies to self folder, and if so to decide at that time which folder to send it to.  If I check those boxes, no copy is sent; while with those boxes left unchecked I do get a copy to the Copies to self folder.  Any suggestions?

Well, I work with the "Ask at send time..." box unchecked but with "If making a copy... ask which folder..." checked.  For this setting, it prompts me to select a folder every time I send an email, but if I cancel the selection by pressing ESC, no copy of the message is kept.

PS there is also a "Copy self" checkbox in the message editor window, immediately below the CC box.  You can also set or clear this while composing the message to indicate what Pegasus should do.  The default setting for this is controlled in the Tools/Options/Messages and Replies dialogue (it's the fourth of the five sets of radio buttons).  Check you haven't selected the Off setting.  There is also a Use last setting option which will cause Pegasus to remember the setting you used for the previous message you sent.