Dear DominicWB
Good day! Thank you for posting to Microsoft Community. We are happy to help you!
According to my test on my outlook 365 client, delayed messages will be located in the Outbox folder before sending, and can be successfully sent and located in the sent folder at the set time. The specific operation steps are as follows:
- Create a delay rule(File>Manage rules &Alerts>New Rule…);

- Send an email;
- Select the Outbox folder/select the email in the Outbox folder, the email is still Outbox folder;
- When the set time is up, the mail is successfully sent and located in the sent folder.
Could you please make sure that this feature is enable

Also make sure that the Send/Receive options are this way ( the schedule an automatic send/Receive every… should be unchecked)

Because my testing process didn't have problems, I need to gather more information to help you better, so I can narrow down the problem:
- What's the version of your Outlook? (File > Office Account > About Outlook). Please make sure you have upgraded your Outlook to the latest version.
How did you set that rule?
Will the issue occur when setting delay for a single message(options>Delay Delivery) without using rules?
- What's your account type?(business account/outlook.com/hotmail.com/pop account/imap account)
- Please kindly try to use Outlook on the Web and let us know the result.
Thanks in advance for your understanding! Your patience and cooperation will be highly appreciated. Hope you all the best!
Sincerely,
Kerry Chen | Microsoft Community Moderator