Exchange Online Admin Portal does not facilitate forwarding emails for users through GUI.
For forwarding emails, we need a powershell session that can communicate with the cloud (Exchange Online).
1. Download and install Migration Tool from Microsoft (Link)
2. Open Windows Migration Command Shell
3. Enter this command:
Set-MSOnlineAlternateRecipient –DeliverToBoth $True –Identity <user> –AlternateRecipient <destination email> –Credential (Get-Credential)
where <user> is the username who needs to get the mail forwarding and <destination email> is the recipient email address or alternate email address that needs to get forwarded messages.
4. Enter the username and the password for your Microsoft Online Services Admin account in the box.
5. It should print a message in a green font that the setting is successfully applied to that user.
So now, any email coming to that user would be forwarded to both.