The administration and maintenance of Microsoft Exchange Server to ensure secure, reliable, and efficient email and collaboration services across an organization.
Agree with michev, no existing feature is supported to enable auto reply for a distribution group. As a workaround, we can create a new user mailbox to send the auto reply.
- Create a transport rule. When the sender is external, and To or Cc box contains the distribution group, Bcc the message to a user mailbox:

2) Login to the user mailbox for auto reply, and create an Inbox rule. When the message is sent to the distribution group, have server reply using a specific message:

3) After that, when the external sender sends message to this distribution group, he should get the auto-reply message like this:

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