Is it possible you’ve created both a rule on the server, and on the Notes client? Or possibly a “mail forward” agent is in place on the mail file?
Another reason that it may not work is the fact that the information for Rules is held in fields that are attached to the “CalendarProfile” profile document in the mail file.
Profile documents are cached in the server by the router and do not always reflect the most recent changes made to them. This is just the way that “Profile” documents work.
If you can restart the Router task after making the change you can insure that the most recent profile document information is being used by the Router.