Never tried using this feature but decided to test it out after reading your post. At first it didn't work but I was able figure it out and got it working. Are you by chance also using a third-party messaging app? I use GOSMS and there's an option in the Settings to "Disable other message notification", which prevents duplicate notifications from other messaging apps. I normally have that checked. With that checked, the forwarding didn't work. I unchecked that and forwarding did work. I also enabled/disabled different notification options in both the stock app and GOSMS and the forwarding worked in all of them as long as the "Disable other message notification" option was not checked. As long as I had notifications in the stock app disabled, I didn't get duplicate notifications.
If you are using a third party messaging app, dig through the settings to see if there is a similar option. In GOSMS it is under Advanced>Receive Settings. Not exactly sure of the technical reason why that option prevents the forwarding. If you don't have a third-party app installed then I don't know why it's not working.
I tested entering the forwarding number in different ways, ########## and 1-###-###-####, as well as creating a contact for the number and selecting that in the forwarding configuration. In each case the forwarding worked. So I don't think that matters.
Hope this helps put you on the path to getting it to work for you. If so, hit the Thanks button.