Set your automatic out of office reply under the Outside My Organization tab. This is for people outside your company such as clients and suppliers. You can copy what you typed in for Inside My Organization or you can put something else for people outside your organization. You can even untick the “Auto-reply…” box if you don’t want to send them an automatic reply while you’re away.
I worked somewhere that required we use them when we left for the day or if we were in meetings all day. It was rather annoying to do every single day. Now I am not at a place that requires it thankfully. I will often put one up if I leave early or if I am arriving late. Also if I am actually out of the office I will also put one up.

When you turn on the DND mode from Control Panel does the auto-reply go to ALL incoming messages and calls or only to those saved in your Contacts? Apple reps have given contradictory answers to this.
But let’s talk out-of-office messages: overshares, excessive detail, the ones that self-aggrandize (I once had a coworker whose auto-replies often said he’d be in late because he “pulled an all-nighter” on various work projects, etc.), the ones that never get turned off, people who don’t use them at all, and other pet peeves.