Not sure what difference it makes.
I've sometimes posted 'pm sent' messages on the sales thread, but not quite sure as to the practical purpose of doing this is, besides being a courtesy. The recipient will know they have a pm in their inbox, and just because there is a public message of intent posted on the board doesn't mean a sale is agreed.
Some sale threads are incredibly fast paced. My advice would be to post 'pm sent' after you've done so, not 'I'm sending you a pm about... etc etc'. Whilst you're doing this the seller is probably reading pm's they've actually recieved rather than waiting for yours to arrive, thats assuming they are even aware it is incoming.
I agree the seller should update the sales thread as quickly as possible if items have sold, to save wasting people's time contacting them, but in my experience everybody on here does do that asap, although not easy if youre selling multiple items and responding to a lot of pm's.
When I've sold items on the forum I've always opened the messages I've recieved in order of arrival, because that seems fair to me. But I wouldn't be offended if others didn't do the same - surely it is up to the seller what they sell, the price they sell for, and who they sell to.
As for being frustrated - I missed out on poncho's snap cape this week, but got in first on a nice C3PO moc from Ed last week - you win some, you lose some!