No, you reacted reasonably in this case.
The secret is that - unlike most email clients - the forum software stores sent but not read PMs in your "outbox". Sent messages contains PMs that are sent and read.
I can completely emphatize your confusion, since the "outbox" would almost everywhere else store emails the system has not gotten around to sending just yet.
And yes, this means the sender can always see when you read your PMs, since it is at that time the PM is moved from the sender's Outbox to his or her box of Sent Messages...
TL;DR: Forum software messaging doesn't work anything like the email clients you're used to.