1) Cannot send a PM. Every time I try to send a PM, it says I haven't logged in, yet I was logged in. ????
Sometimes it can get a little confused as to whether you're logged in or not if you're clicking on the link from a notification email. Try going directly to your PMs via the forum. Also make sure you have checked the "remember me" link when you log in.
2) Profile does not show threads I've posted in/subscribed to. Not too many posts yet, but why doesn't it remember the threads where my posts are located?
Are you actually looking on your profile? They are not listed on your profile, but in your User CP. If it's not remembering the threads you're subscribed to, that might also be related to your login problem -- see above. If those suggestions don't work, try fiddling with the security settings on your browser.