Configuring preferences and options in Outlook.com
The way I see it, if you have a connected account configured to use POP (or IMAP, for that matter), then your outgoing mail isn't using Outlook.com's SMTP server to send the message. It's using the connected account's SMTP server, which means the Sent folder on that remote service should have a copy of the outgoing message. Your Outlook.com mailbox won't even see the outgoing message and, hence, won't have a copy in the Outlook.com Sent folder.