how to set up a vacation message on mail

Only ever do that on your email server. If you set it up on the email client level, you and all of your recipients will spam each other endlessly replying to each other's vacation notification. Check with your email provider to see if they have such a thing.

Don't do it. Setting up an auto reply in your email client informs everyone, including phishers and scammers that they have reached a valid email address. Scammers will pass on your email address to others knowing that it is a valid address.

If and only is using iCloud as mail servers - log into www.icoud.com and Mail and once in, will need to hunt around in Setting or Account Setting for Auto Reply Vacations or something like that.

Though, as pervious posting mentioned - a stationary Target to Spammer to validate and working and active email address