Currently, if you have server-side sync configured and you have selected, in the personal options to track "Emails from Leads, Contacts and Accounts" and you send a new email message to an existing CRM Contact, you will not see an Activity created in CRM. The Activity and Tracking of that email starts until the recipient of that email sends a Reply back to the sender. If the recipient never replies, the Activity/Tracking of that initial email will never exist in CRM.
This is particularly important for Audit purposes, there are industries that are required to track every single communication to Clients, not only the replies. According to a case opened with MS (120072124000371), not even the "Track All Emails" option is designed to track the initial outgoing emails but even if this option would work this way, it is not useful since not every single email in our mailboxes goes to Clients/Potential clients. We don't want to track the day-to-day corporate communications in CRM.