Under the actions portion of the tools and alerts (Step 1 Select action(s)) you should have a list of several options, one being 'save a copy to the specified folder', another being 'forward it to people or distribution list'.
Your current setting should work if you ensure that 'out of office' user has the shared inbox in their folder list, has permission to save to the shared inbox folder, and that this shared inbox is the selected one, not the 'out of office' user's inbox. If any of these are not true and are peventing the message from being copied, using the 'forward it to people or distribution list' option instead should allow you to click 'people or distribution list' and enter an e-mail address (in the window that says Step 2: Edit the rule description).
Have you re-selected the shared inbox as the copy to folder to ensure the rule is pointing to the correct inbox?
