you need to check this from Exhange admin center.(If you are not the admin, please contact your O365 admin)
unless forwarding is not blocked from admin level it should be worked fine.
Refer following regarding mail forward from O365,
https://learn.microsoft.com/en-us/microsoft-365/admin/email/configure-email-forwarding?view=o365-worldwide
https://support.microsoft.com/en-us/office/create-reply-to-or-forward-email-messages-in-outlook-on-the-web-ecafbc06-e812-4b9e-a7af-5074a9c7abd0