The Reply To: address you use is always important, but if any of your subscribers have a challenge-response spam filter in their email inbox, it becomes even more important.
How they work
When you send a campaign to an email account with a challenge-response spam filter, that system sends back an email "challenge" to your Reply To: address. The challenge is usually Captcha text or an image puzzle you have to complete to prove your humanity.
Your campaign is quarantined or flagged in your subscriber's inbox as possible spam until you complete the challenge. After that, your message moves into the subscriber's inbox and often, your sending address will be whitelisted, too, which is great.
If your Reply To: address is old, made up, or out of your control, you might miss the challenge-response email. If you don't complete the challenge, that subscriber's inbox will filter your campaigns in the future.
To help you get through a challenge-response, make sure someone in your organization looks through the automated replies for each campaign you send. If it's helpful, you could create a reply email just for your newsletters, like firstname.lastname@example.org.