We have a cyrus-murder installation with multiple backends and distributed mailboxes.
The sogo Mainserver connects always to the "main" Host ( - the frontend ) and gets then proxied to the users backend-server.
IMAP/IMAPs works fine cause the proxying request is done be the connected imap-process of cyrus.
IMHO sieve works different. sieve sends a REFERRAL-Command back that points to the correct backend-Server, which sogo seems not to support.

• if we want to change the vacation message in the sogo-preferences we always get the Error Message "Connection error". The sogo-Log file shows:

2014-10-02 21:17:30.776 sogod[20943] WARNING: Could not delete Sieve script - continuing...: {RawResponse = "{}"; result = 0; }
2014-10-02 21:17:30.776 sogod[20943] Could not upload Sieve script: {RawResponse = "{}"; result = 0; }

I took a tcpdump to see what's going on and see this:
...
sogo -> sieve-Server: AUTHENTICATE
sieve -> sogo: OK
sogo -> sieve: DELETESCRIPT "sogo"
sieve -> sogo: BYE (REFERRAL "sieve://<BACKEND-SERVER>") "Try Remote."
sogo -> sieve: PUTSCRIPT "sogo" {1328+}
...

so for me it seems, sogo does not support the sieve "REFERRAL" command.

hopefully there's a quick fix? ;)

Michael.