For some reason Zentyal 5 (and 4 before it) does not enable the vacation out-of-office message in Sogo (even thought the function is available in the software).
To enable it, follow these steps (you will need access to the command line console):
In version 4.x this file is located here:
Locate the following code:
SOGoVacationEnabled = No;
and change to:
SOGoVacationEnabled = Yes;
Once saved, you can either restart the server or restart SOGo from the Zentyal web interface (this will update the current settings with the ones from the template).
For Zentyal version 4.x, either restart openchage or reboot the server