I think most people here - if not all! - would agree that HTC Sense is currently flaky at best, unusable at worst. I'd certainly not rely on it to back up anything on my phone.
I found SMS Backup & Restore in the Market and would recommend you give it a try. It's free, simple and quick. As well as backing up all your texts (except MMS messages) to your SD card, it also makes it very simple to email the backup file to yourself or to anyone else. I'd suggest you visit the developer's website as this gives a lot of valuable extra information and also explains how to read the text message archive on your computer.