sp_send_dbmail with multiple reply_to addresses
@reply_to can only accept 1 email address. Its by design - see this connect.

The document reflects that as well.


  [ @reply_to= ] 'reply_to'
  Is the value of the 'reply to address' of the email message. It accepts only one email address as a valid value. This is an optional parameter used to override the settings in the mail profile. This parameter is of type varchar(MAX). SMTP secuirty settings determine if these overrides are accepted. If no parameter is specified, the default is NULL.