I have a few questions concerning writing to members:

1. If you use the "Message" tab above someone's profile name (and then send a "Private Message") is it the same as sending someone a message through the "Send Email" Tab? Are they handled the same way through SGS?

Yes, it is.

2. Can you assume they received the message if they have been online since you sent the message?

No, they may/may not have read their email.

Also, if they have been online since then but don't appear under your "Last Visitors" can you assume they haven't viewed your profile?

Yes.

If they view your profile while "offline" will they show up as a "Last Visitor?

No, only members who visit your profile while they are logged in will appear under your "Last Visitors" tab.

3. Is there any way you can review a message you sent someone?

Yes, go to your "Sent" files in email.

This may be an additional help:

How does Email work?