I've always had that happen since Gmail started allowing POP access. I think its because with gmail every piece of email is just an email, and sent/inbox/deleted (and this is my assumption) is just a search..... so when you hit sent, its labeled as Sent on Gmail's side, so it shows up as Sent and nothing else.
But with Mail, it sees the sent from gmail email as just another email. I ended up making a rule that said if the email is from me, put it in "sent".