Is it possible to configure a reply-to address; i.e. an e-mail that is different from my account on the imap server?
Yes it is. It is called Alias. Go to Preferences>Accounts>Aliases.
Is it true that the alias should be in the same domain?
I tried to use another domain because I have new email address, but when I select that address when I reply to a message the screen just refreshes.