You can already have multiple actions by duplicating a rule and then 
changing it to use the other requested action. Changing Ingo to work 
exactly like you requested would require much more changes though. For 
example it's not possible to do a conditional vacation rule at all yet.
Allowing multiple actions, or allowing to conditionalize the special 
rules, or even have multiple of those, would require a lot of work 
though, so this is very unlikely to happen without sponsoring.

Would be possible have a choice for multiple action in a rule ?
For example I want that all mail received on Saturnday and Sunday for 
a specfic mail address should be delivered to the mailbox and that a 
message is sent back that say the office are closed.

This is a simple sieve script that do that :
if anyof ( header :comparator "i;ascii-casemap" :contains "Received" 
"Sat", header :comparator "i;ascii-casemap" :contains "Received" "Sun" 
) {
     keep;
     vacation :days 1 :addresses "mail@example.com" :subject "Office 
closed" "The office is close on Saturnday and Sunday.";
     stop;
}