Microsoft is currently deploying an update which will copy all sent items sent as/on behalf of user principal to the principal Sent Items folder as it is the case for some time for shared mailbox.
To manage this feature, you need to use PowerShell to connect to Exchange Online and update the MessageCopyForSentAsEnabled or MessageCopyForSendOnBehalfEnabled on the principal (or delegator) mailbox.
$ExcOnlineSession = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $O365Cred -Authentication Basic –AllowRedirection
Import-PSSession $ExcOnlineSession -AllowClobber -WarningAction SilentlyContinue -ErrorAction Stop
Set-Mailbox <mailbox> –MessageCopyForSentAsEnabled $true/$false –MessageCopyForSendOnBehalfEnabled $true/$false
Management option for this feature is not (yet?) available through the Office 365 Admin portal as it is for the shared mailboxes.