It's a limitation of Outlook Contacts and rules - when you use a DL in Contacts, Outlook has to expand it to send it, so the group name is gone. When you receive messages, the addresses are expanded, so outlook doesn't see the group.
If you used Exchange mailbox and the group was in the GAL, it should work.
To make it work in Outlook, create a contacts folder and put the group members in it, then create a rule that applies to addresses in a specifc address book, selecting the contacts folder.