As I said in my original reply, I haven't played with this a lot, and when I received the "that works perfectly" message, I thought everything was OK.
I have spent a couple of hours playing this afternoon and I also have the problem that no vaction message is being sent. I created a Filter Group and added another Filter to it (to redirect the mail) and this worked OK, so server-side filtering is working, just not the Reply with message (vacation) part.
If you download the Additional Server Tools, in ServerAdmin, under Mail / Filters there is an option to turn on and off server side mail rules. In my case, this was already turned on.
OS X Lion appears to be using Dovecot for it's webmail. The server-side filters are called Dovecot Sieves. There seems to be a lot more information about the Vacation Sieve on Google than there is currently about OS X Lion Server. I am trying to get some clues here.
Ideas to consider (any comments appreciated):
1. Are my vacation messages being created and then failing to send due to some permissions, restrictions?
2. Do I need to be running any server-side daemons?
3. I would be interested to see if the "number of replies per day" functionality is working. I recall there were some issues with this in Snow Leopard Server.
I will keep looking and get back to this post if I find anything.