I set the come-back message, the box was (and still is checked), and the date it expires was never set. I had a personalised status set when the user came online, and the user hasn't gone offline since.
If the come-back messages don't work when a status is set to anything other than "online", then I think it should be changed in the next update because why would I need to set a come-back message for someone if I'm online?