It is possible for someone to send an email to an Office 365 user who set up an Out of Office (OOF) notification and did not received it. However, an OOF MailTip for the user is displayed in the mail client of the sender (in a Hybrid environment, for example).
This issue occurs if one of the following conditions is true:
A forwarding rule is set up for the user’s mailbox (configured on Exchange);
A global Exchange transport rule is created for this mailbox.
And the reason why is that, by design, a mailbox cannot have forwarding rules and an OOF notification active at the same time…
To resolve this issue, you need to find out if a forwarding rule or an Exchange transport rule is set on the mailbox, and remove it if that is what you want.
A possible workaround to set up email forwarding and an OOF notification at the same time, is to set up Inbox rules for the mailbox instead of setting up a transport rule.