Does the out of office feature work with OnDemand?
Yes, in part. The Out of Office (OOO) feature displays the warning directly on the Messenger Timeline:
Since all OnDemand interaction happens around this timeline, the OOO message will be visible before and after requesting an item from the OnDemand menu:
There are no special messages that are sent around an OnDemand request during Out of Office. See the Out of Office article for more details on the feature overall.