You are using the Client Site Proxy (CSP) and have found that Out of Office messages are failing.
For a user to set an out of office reply, Outlook will try to connect to an internal URL hosted on the exchange server. This URL is usually something along the lines of autodiscover.domain.com. Since Outlook uses the proxy settings from Internet Explorer, it then routes the traffic via the CSP. Unfortunately, the address being connected to doesn't work well when the traffic to it flows through a proxy.
The URL for the autodiscover should be added to the proxy exceptions in IE. To find the URL, turn on access logging on the CSP and see the URL that is being requested.