You were on the right track with your first scenario with an Exchange distribution list. Instead of using the Single Inbox feature you can just create a mailbox and set the Message Action to Relay. In that configuration CUC will just SMTP relay the message over to an Exchange address.
As for forwarding messages within an individual Exchange mailbox: It seems to be an Exchange architectual consiquence. CUC posts the message directly to the mailbox through EWS. This seems to be exempt from mailbox rules.