First check:
On the server:
1. Start Exchange System Manager.
2. Double-click Global Settings, and then click Internet Message Formats.
3. In the Details pane, right-click a domain name, and then click Properties. The default SMTP domain is "*".
4. In the Properties box, click the Advanced tab, and then click to select the Out of office responses check box. This enables Out-of-Office responses to the Internet for the selected domain.
This affects forwarding rules as well
if that is already done, try creating a contact in active directory for the external email address. Then forward the email to the contact.