If you put that rule in the standard filter rules instead of the outgoing rules it will be applied to all messages.

To exempt incoming messages you could change the trigger from 'Always' to matching on your local domain in the sender address.

I am trying to add a header to all the messages that come out from the mercury server including the messages from/to local users

 to do that I have written a label type 'allways triggers' in the 'outgoing rules' secction of filtering rules but this only works with the messages that leave outside of the domain, for the local messages it doesn't work

as I can solve this?