I believe it only sends the mail if there is output back to the shell. Like an echo command or returned output from an ftp, or the like. If you run the script interactively and there's no output to the screen, I don't think any messages will be logged or e-mailed.
Of course, you could always add a line #echo "Completed" to your script at the end if it completes.
I usually set up sendmail and have all of root's mail forwarded to my "real" e-mail address.
I also found that if I don't end a PHP script with ?>, it will send the mail. Eliminating the end tag seemed to stop the mails. Donno why?
Mark