I have and Exchange 2000 server here and one at a client, that are both basically default setups with all service packs applied to Windows 2000, Exchange, and the Outlook clients (2000, 2002, and 2003)
When the Out of Office assistant is turned on anywhere, it will respond with an out of office reply to local users selected from the Global Address list, however if they are sent mail to their smtp address from in or outside the companies, whoever sent the message does not get a reply.
My outlook clients here are setup on exchange, but send and receive via pop3 accounts setup in Outlook, not on exchange, as we do not have a static IP.
My client who has the same problem however has his Outlook stations just setup on Exchange, which is using the SMTP connector as he has a static IP and the MX record pointed to his server.
And I can't find anything about this on Google.... just that you turn it on and it is supposed to work.