The sending email address is not the reply email address, so firstly, you do not need to physically set that one up.
Reply handling can be set up under "Email Studio /admin / Reply Mail Management" and/or overridden under "custom reply mail management settings" in the Sender Profile. You cannot really NOT use RMM. It is where you setup replies, even if you want no filtering or anything.
So, in the Admin / RMM dialogues, you can follow this:
For Email reply address:
Enter anything under your reply subdomain - the entry has to have the format of an email address and needs to be on that subdomain, but it does not have to be an actual inbox and it does not have to be monitored. Mails get filtered here and are redirected from here. -If you want out of office filters / redirects, no one will ever see what you entered here, and this "inbox" is just there to perform that.
Routing Address for Remaining Replies:
This is where the filtered replies will be redirected.
Again, no customer will see what you entered here. This, of course, should be an existing and monitored inbox if you care about someone reading the replies that passed the filter, and it does neither need nor should it be on the sending subdomain.
If you want to override the admin setting, then in the Sender Profile, under Custom reply Mail Management Settings (which when configured would always win over the default RMM setting in admin), you would
[x] use custom settings below
[x] set up direct forwards (as you state, "you do not want any RMM", meaning replies should go through directly)
use specified information: and enter an actually existing email inbox (likely monitored), not on your sending subdomain.
Did this make sense? Hope it helps.