Exchange users' inbox rules not work

Hi everyone,

I'm testing to create an auto forward rule from user's OWA, forward all incoming mails to addresses in the outside world (Yahoo, Gmail, ...). It does not work at all.

I digged deeper and find out that "... When a mailbox is created, the value of the DeliverToMailboxAndForward parameter is set to $false by default", so I run the following command in Exchange PowerShell:

Set-Mailbox -Identity "MailboxName" -DeliverToMailboxAndForward $true
No error returned. But the auto forward rule still didn't work.
When I use the Admin EAC to look at the recipient properties/mailbox features/forwarding address, there's an option to enable forwarding , but only to internal accounts/pre-created contacts.
Is Exchange Server 2013 restricted the ability that allows normal users create auto forward rules?
We are using Exchange Server 2013 CU1.
Any idea would be highly appreciated. Thank you!