ThomasJL : 10/10 for persistence.
Mal : 0/10 for help.
I've just had this problem myself and this post came up near the top in Google.
I had to call Microsoft in the end so I can offer an explanation in my circumstances that may help anyone reading this.
Yesterday I installed Outlook 2011 next to Entourage 2008 and did an Import from Entourage from the main (only) identity, and hit the same problem.
I called MS saying it was an Outlook issue, when in fact it is an Entourage issue.
When I checked on my Hosted Exchange account via OWA, there were no Reply/Forward flags on that Inbox either.
I was expecting this to work, as it HAD worked on another upgraded Mac a few weeks earlier. I checked this Exchange mailbox with OWA and yes, all the flags were there.
So MS agreed that the issue was in Import from the Entourage database and that this Entourage mailbox had not been syncing correctly for months, and in fact had been rebuilt many times.
So although the flags are all there in Entourage, they are not being sync'd to the Exchange account, and also cannot be exported out. (I tried twice).
They offered one hope - to Export all the messages and try an Import to Outlook via an RGE file, and see if the flag come too.
I will try that and report back.
So essentially this is due to a corrupted Entourage database, not a problem with Outlook.
Cheers,
DK