Currently, Exchange/Outlook only supports client-side rules if you want to move messages to a specific folder, depending on which alias it's sent to. This means that the rule only works when Outlook is running, which is not always possible.
You can workaround the issue by creating a rule that checks for the content of the message headers. This type of rule can be created server-side and will always run when messages arrive on the Exchange server. By checking whether the alias is present in the message headers, you can easily create a rule that moves those messages to another folder.
A note of warning I read on the Avast Forums: if your Avast subscription runs out, the Exchange Information Store no longer starts and bails out with an error "failed to start virus scan". Very annoying indeed...
Below are a few links to allow mailbox sharing and delegation: