If you will only be forwarding the mail to an off server address at a service such as aol or gmail, then you do not need to setup the mailbox under Email Accounts in the control panel. Only a forwarder needs to be set up.
From the control panel, click the Forwarders button from the Mail area. From the pull down menu at the upper right, select the domain for which you want to set up a forwarding address. Click the Add Forwarder button and enter the address to be forwarded and the destination address, and click the Add Forwarder button at the bottom.
If you want a copy of the mails to be retained on the server and also forwarded to an off server address you must set the address up under Email Accounts in the Mail area of cpanel.