There is a bug that prevents Marketing Cloud Reply to settings from working correctly with Outlook automatic replies. When sending an email to people using Outlook, Outlook ignores the settings that Marketing Cloud gives it. This results in automatic replies going to the From email address rather than the Reply To email address.
Regular replies (not automatic or out of office replies) do go to the correct Reply To email address.
To prevent automatic replies from becoming overwhelming, it's recommended to set up inbox rules on both the From and Reply To email addresses you'll be using. Check out Salesforce's recommendations for reply rules you can set up in your email account.