Enable external e-mail forwarding

First of all, you need  Enable-OrganizationCustomization

After it, lets connect to exchange online;

Right, now lets create the rule :

https://docs.microsoft.com/en-us/microsoft-365/security/office-365-security/external-email-forwarding?view=o365-worldwide

After it, go to Roles, Role assignments;

At Exchange, click in Organizarion Management;

And add permission for your user;

Lets give one more permission:

Now, lets go to Security

Policy and rules and click Threat policies and Anti-span

https://security.microsoft.com/antispam

Click on Anti-span outbound policy (Default)

Check that Automatic forwarding is: Automatic – System-controlled

Click Edit protection settings and change to On and save it:

Now it’s time to test!

That’s all!!!