Could an employer set up a separate self-funded health insurance plan that covers only mental health benefits (with different financial and treatment limitations than its other health plan that covers medical benefits other than mental health/substance abuse), and avoid the new mental health parity rules?

Check out this website, it should be very helpful to you.

http://www.cms.hhs.gov/healthinsreformforc...thparityact.asp

Unless I am missing something, I do not think that the website addresses this issue. It really turns on how a "plan" is defined for purposes of this Act.