I've found the same thing in quick replies, thus if I want to be sure I usually "go advanced" according to the tab and then make sure that the little check marked boxes are checked for the actions that I desire like ask for read receipt etc. But, on Quick replies there are no such boxes.
The Quick Reply allows you to reply to a PM but there will be no record of it. You will not be able to track it. You will not have a copy of it placed in your Sent Items folder.
Use the button to reply to a PM and have a record of it.