We are trying to use the Out Of Office Periods more. It looks like you can create them two ways, either through your profile or through the calendar and selecting out of office as the type. When created on the calendar they still show in the Out of Office Periods section under your profile.
Is the "Covering Agent" a required field? It doesn't flag it as required when making one without. In our case we have all tickets get assigned first to our help desk team via round robin and had thought it would just go to the next person. Our testing seemed to confirm as much but now that our agents are using it we are seeing some where tickets still go to a person who is within their out of office period.