The "quick" way to forward a adress is to create a external contact with a internal email address and a forward email address ("External Email Address")
1. Create External contact with External email address.
New-MailContact -Name "Display Name" -ExternalEmailAddress "External Email Address"
Like this:
New-MailContact -Name "Bjoster Admin" -ExternalEmailAddress "bjoster@external.example.com"
2. Set External contact email address to internal email address and forwarding email address
New-MailContact "Bjoster Admin" -EmailAddresses "SMTP:<Office 365 User Email Address>,<External Recipient Email Address>"
Like this one:
Set-MailContact "David Wilkins" -EmailAddresses "SMTP:bjoster@example.com,bjoster@external.example.com"