If you are forwarding to external domain ( not part of primary domain ) , please login to office 365 admin and add contact first. Then you can select the email on mail rules.
2. From the top menu select Admin > Exchange to open Exchange Admin Center.
Configuring Forwarding Rule in Microsoft Office 365
3. Select mail flow to create the Forwarding/BCC rule.
4. In the rules tab, select the + (New) and select create a new rule.
Creating a new Forwarding Rule
5. In the new rule screen, configure the following options:
Apply the new rule to all future messages
6. When prompted with the warning: Do you want to apply this rule to all future messages?, click yes.
7. Click save.
Verify configured Forwarding/BCC rule details
8. View and verify the configured Forwarding/BCC rule.