So this all seems to be related to the "DelegateSentItemsStyle" registry key setting. A while back we made it mandatory that all items sent on behalf of a delegate must be saved in the mailbox owner's sent items (DelegateSentItemsStyle=1). As a test I set this key to "0" (disabled the key in other words), sent a message as the delegate, and the message left the Outbox immediately and saved to my own Sent Items.
While I'd prefer to not disable this registry key (because this feature was very useful when a mailbox was shared amongst 10 users), I guess if we want to run Outlook 2010 in online/non-cached mode this is the only way!
http://support.microsoft.com/kb/2181579