I've been using 1.0.6 with the Exetel (AU) provider for the last month or so. A couple of the above I can answer for what/how they're supposed to work (and how they do for the Exetel sender, though I can't guarantee it's working correctly for other providers).

The "Sender" is used to be able to specify the sender number (your phone number) - some web sms providers require that the sender number is a part of the message sent to the provider, and the sender number is not necessarily the same as the account name. The Sender field in the Advanced Settings gives you somewhere to specify what number should be put in the web sms provider's sender field when it's required (as it is for Exetel).

As for the history of messages, when the message is sent successfully it should already be being saved in the standard N900 conversations. If it's not being saved on your provider, it'll probably be a bug in the recognition of a "successful send" for that provider.