Yes it is possible, but what would be the end goal? To get the email from an Exchange account to a mailbox out from thexyz email hosting environment or inside your current domain?
Once logged in, navigate to the Hosted Exchange mailbox and you'll click on the tab "Mail Forwarding" and select the email address you want to forward to.
Yes, that is why if you want to send to an external source or a mailbox that is not an exchange mailbox in your current domain, you need to "trick" the system by making a fake exchange email address (a contact) that will point to your external mailbox.