Automatic forwarding needs to be set in the remote domain and in the Outbound spam filtering.
First go to the Exchange admin centre>Mail flow>Remote domains or browse directly from https://admin.exchange.microsoft.com/#/remotedomains.
Select the domains you’d like to automatically forward to if you have remote domains configured. If not, select the default remote domain, edit reply types and ensure ‘Allow automatic forwarding’ is enabled.
Next browse to the antispam settings in the security centre. https://security.microsoft.com/antispam
Select the Anti-spam outbound policy>Edit protection settings and ensure ‘Automatic forwarding rules’ are enabled.
If this is configured to Automatic – System controlled then this wont work and needs to be changed because the default is off.