Do you really run a mail server on your machine (which involves you own a registered domain name)?
If not, then it is probably your mail client that receives (and stores) your mail, not sendmail. Sendmail only sends your outgoing mails.
If you run a mail server, then sendmail either stores your incoming mails in /var/mail/yourusername or in $HOME/Mail, or somewhere else, depending on your config.
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