Just wondering is there anyway of sending 'out of office replies' back to a specific email address using cfmail.
Not easily. I was able to verify the behaviour you observed.
If you have access to these email accounts using cfpop, you might be able to do something clever. I've never used that tag myself, so other than mentioning that it exists, I can't help you.
Is it a good idea to be doing out-of-office replies with cfmail? Do it at the mail server. They usually have a setting for that.