Clare, I had the same issue. I dug through the message updates from microsoft 365, on October 12, they stopped support for mail forwarding. below is what they sent with directions on what to do.
Follow up to MC221113: Office 365 ATP External email forwarding controls and policy change
MC223357
Unfortunately, I could not make any changes as Microsoft doesn't recognize me as an administrator (even though I set it up, paid for it and have no employees) If MS had a help line you could call, or the answers actually helped resolve issues, this wouldn't be a problem.