I don't think you did missed anything.  This is the normal behaviour - forward the email, then delete it.  Spam filtering may be applied, but it doesn't stop the email being forwarded irrespective of the spam score.

 

You can stop some spam emails being forwarded using the setting in Security | Anti-spam Administration.  You have a choice of "Enable for Outgoing SMTP Blocking" for some spam filters which will stop spam messages being forwarded.  I'm not sure how fine-grained the setting is, and what level of spam (High? Med? Low?) must be reached before the email is not forwarded, but it has made a massive difference to our uses who forward their email to external accounts.