Hello,
Thank you for reaching out to the community. The setting that you're looking for is the Inbound Message Delivery setting. This setting can be set to deliver locally first and if the user doesn't exist it will send it to an external host address. This setting is located in the Domain configuration settings located under the email card.
Please let me know if this helps.
Kind Regards,
Zach Sylvester
Software Developer
SmarterTools Inc.
www.smartertools.com