Can only confirm what you're seeing.

Both sp_send_dbmail and the SQL Agent didn't appear to use of the "Reply e-mail" even though it was configured.

From looking at a packet capture of the SMTP traffic, 'Reply-To:' was nowhere to be found in the message body.

This issue at connect.microsoft.com appears similar and is still open for feedback:

https://connect.microsoft.com/SQLServer/feedback/ViewFeedback.aspx?FeedbackID=264498