You select the 'Send response to all recipients' option for an auto-response rule, but additional recipients are do not receive the auto-response

Salesforce included the ability to include additional recipients on auto-response email messages in the Winter 15 release. However, this feature does not work when an auto-response rule is invoked by Email to Case Premium. Unfortunately, Salesforce did not provide a method to use this feature outside of the standard Email-to-Case functionality. As a workaround, you can replicate this functionality with workflow per this article:

Reply-to-All Auto-Response using Case Teams and Workflow

Note that this workaround will require Salesforce Enterprise Edition or higher.

This is a limitation of the Salesforce platform.