I don't believe that it's "Reply-To", but rather "Return-Path" that is causing his problem.

"Return-Path" is supposed to show the the real address of the sender as taken from the envelope. And it's only supposed to generated by the MTA performing final delivery. And it's only used to notification of delivery problems.

Most MTA's just accept a "Return-Path" line if one is already present. This prevents recording the spammer's address from the envelope (no great loss since it is probably forged too) and it sends the delivery problem notifications elsewhere.

It's even possible that "Reply-To" contains some valid address for the spammer. That way you can reply to a hotmail account or something if you are interested in a product.

The latest versions of Sendmail have a way to replace a "Return-Path" header. But until everyone does that, this is a problem.