I would guess that Apple's thinking here is that your messages should be sent close to instantaneously. You will only get a notification if the message was not able to be sent, or the connection to the server wasn't able to be made.
As far as I know, the only thing like this is the "Mail Activity" pane. You can view this by clicking the "Show" button (upper-left), and clicking the triangle inside a square icon in the bottom left.