There appears to be NO easy way to submit a bug report to Microsoft about exchange. I'm hoping this post will do the job.
Here's the basics of the bug and it's fairly easy to recreate, this bug introduced itself when we upgraded from Exchange 2007 to Exchange 2013
If a rule is set up with both actions "Have the server reply with a specific message" AND "move to a specific folder" it will only move the message to the folder and not reply at all.
Steps to recreate.
1. Create a rule with "Have the server reply with a specific message"
2. Test and confirm that the reply is sent
3. Add the "Move to a specific folder" action to the same rule.
4. Test and notice that the email is moved but the reply is not sent.