It's not a problem actually.
How the PM system works is that, once a message is "Submitted", it moves to your Outbox. It stays in the Outbox until the person you sent it to logs in to the forum - at which point it is then "Sent". The reason for this is so that you have the opportunity to change your mind and cancel a PM before the person sees it.
If a person has their account set to send them an email informing them of the PM, they are more likely to notice your PM faster and click the link to log in and receive it. I've double checked that functionality... but most people do not have email notifications turned on
If there is a more specific problem, I can try looking at it... but I am not the official web guy. In fact, that position is recently open for a willing volunteer.