Jorge, what version of SM 12 are you using. Using SM 12.5, I tested one account forwarding to two other accounts with the "Delete messages when forwarded" selected. As expected, those accounts received the messages and the message was not in the inbox are the original recipient.
What does the delivery log say for the original recipient? You should see Delivery from firstname.lastname@example.org to email@example.com has completed (Forwarded Deleted) Filter: zzzz
Do you have any content filters or events set up?
EDIT: Also be aware, Jorge, that if this is a replicable bug, you would need to upgrade to SM 13 or 14 since SM 12 is considered a legacy product.