It works here with NNScript. Make sure you paste the code into the script file "ownstuff.mrc" (see the View
menu in the Alt+R dialog)
You don't see yourself replying because the message window does not appear at all - it's halted immediately.
If you want to auto reply to every PM and keep the window open, use this code instead:
- On *:open:?:*: msg $nick Hello, this is my auto reply.