Filing Sent messages in a folder other than sent messages folder
I'm doing this for quite a while. Mac mail does not do it for you. However is works in this way: every sent message has an automatic copy to myself. In a rule I copy the received message with myself as the sender to a mailbox xxx.
1.Mail / Preferences / check Automatically Bcc: myself
2. Mail / Preferences / Rules / Add rule / "if any of the following conditions are met": from - contains -  Move message to Mailbox 
good luck!