A new mail filtering rule that is applied when the folder is opened will trigger both when the new mail folder is opened and when the new mail folder is open when the message arrives. What I suspect is happening in your case is that the user is using Preview mode and the new mail folder was not the active folder when Pegasus Mail is minimized. In that case, the new mail filter will not trigger until the new mail folder is activated. The solution is for the new mail folder to be open at all times.
Be aware that a forward filter like you describe will run each time the new mail folder is opened and will trigger on every unread message that meets the filter criteria. The result could be the same message being forwarded multiple times unless it is marked as read or moved out of the new mail folder after the first forward.