Personally, I don't mind checking the "Don't save" box one bit. And, if I send a PM that I initially don't want and then realize 2 seconds later that I really do? I'm up the creek without a paddle.
What I really wish for is a way to delete a PM immediately after receiving/reading it. (i.e [reply] [done].............[Delete]) If I had that I sincerely believe that all would be right in the world.