Two forwarding mechanisms exist at the admin level with a decision baked into each, plus the deliver and forward choice that trips people. In order:

Mailbox forwarding, the direct route: in the Exchange admin center open the mailbox, mailbox features, mail flow and set the forwarding address to the colleague. The paired checkbox is the actual decision, Deliver message to both forwarding address and mailbox, ticked keeps a copy in the original mailbox while forwarding, unticked forwards only. For someone on leave, ticked is usually right so nothing is lost from their own record, unticked suits a mailbox being wound down.

The PowerShell equivalent for scripting or bulk: Set-Mailbox user -ForwardingAddress colleague -DeliverToMailboxAndForward $true, the parameter naming the same both copies choice explicitly and this is the form worth knowing when several leave forwards land at once.

The internal versus external wrinkle: ForwardingAddress accepts internal recipients only, the colleague being internal here so no issue, but forwarding to an outside address needs either a mail contact created for that address first and forwarded to that or the ForwardingSmtpAddress parameter which forwarding to external destinations uses, gated by whatever external forwarding policy your organization set, many now blocking it by default for security reasons worth respecting rather than circumventing.