Whenever my system filter uses a mail command to send a message, I get the error User 0 set for address_reply transport is on the never_users list. What does this mean?

The system filter runs as root in Exim 4, unless you set system_filter_user to specify otherwise. When you set up a delivery direct from a system filter (an autoreply is a special kind of delivery ) the transport runs as the same user, unless it has a user setting of its own. Normally, deliveries are not allowed to run as root as a security precaution; this is implemented by the never_users option (see Q0039). The easiest solution is to add this to your configuration:

system_filter_user = exim

The system filter then runs as exim instead of root. Alternatively, you can arrange for autoreplies from the system filter to use a special transport of their own, and set the user option on that transport.