Yep. Although I'm unsure about how rules set up in Entourage affect the exchange server. You could also access the excange mail via a web browser and turn on the out of office assistant that way. That requires your company to have exchange set up with that access tho'.
As it stands, exchange support in OS X really does suck. Entourage barely qualifies s having support for it. We really need an exchange client for the Mac like in the OS 9 days.