Ah, ok. I didn't catch it was while looking at an email.
I see Found in... when I view an email with a few threads back and forth. Mail's Viewing properties allow you to view conversations, so if you click on any email with the same subject between you and the other person, all of the back and forth emails will appear when you click on one. The other emails in the thread will indicate where they are (Inbox, Sent).
So, if you replied to an email that is still in your Inbox, and click on the Sent item, the inbox thread of the conversation will indicate that it is in the Inbox of whatever account.