After setting up a Defender Anti Spam Policy to allow Forwarding for an address, the forward was being dropped in the message logs due to

Reason: [{LED=250 2.1.5 RESOLVER.MSGTYPE.AF; handled AutoForward addressed to external recipient};{MSG=};{FQDN=};{IP=};{LRT=}]

I had declared the forward in the Office 365 Portal not the Exchange admin portal

Create a contact in the Exchange admin portal with the external email address

Forward it using “Forward to an internal email address” Record