It is possible to set separate Out of Office messages for both Internal and External emails, with the option to only set one type. The appropriate box must be ticked and there must be text in the message box. If the selection is made but no text is added then no automatic reply will be sent.
Go to Options (top right of window) and choose Automatic Replies
As well as choosing Internal and External replies, you can also specify a time frame and choose whether external replies will go only to your Contacts or to All external senders. You can use HTML formatting.