As a secure default, Exchange doesn’t allow sending automatic forwards and automatic replies to the Internet.
This is mainly to prevent any unintentional mail loops, which users can create by using message rules in Outlook, which directly forwards the message to an external address or replies to the sender of the message with a template.
Additionally, it also prevents emails from automatically being forwarded almost unnoticeable when an account gets compromised and a message forwarding rule is created by the attacker.
This article explains how Exchange Administrators can change this behavior via the Exchange Admin Center (ECP), Exchange Management Console (EMC) or Exchange PowerShell commands (EMS).
Continue reading: Allow or prevent Automatic Forwarding/Replying to the Internet