I got a similar message in the "new" Outlook for Windows with my standard Outlook.com account. Scary to say the least. Mine had a "turn off" button which I clicked immediately.
When I went into Settings, I did find an old Rule (separate section from Forwarding in Settings -> Mail) for that account that was forwarding email to the account listed but only if the sender address included a specific domain. I checked my sent items and confirmed that no emails were actually forwarded. I think a bug was introduced that saw that rule and put up the message which makes it sound like it is a global forwarding rule. In any case, I deleted the rule to be safe (it was already disabled by clicking the 'turn off' button).