When you add a MyPobox domain to your account, it makes Pobox's mail servers "answer" for messages sent to that domain. So, if you forward to that domain, we will say, "Great! I answer for that domain.... oh, wait. That address isn't set up. I guess it doesn't exist." And then we'll bounce the message with the error "User Unknown".
It's ok to set up a MyPobox domain if you still have it working somewhere else. In fact, you definitely want to set your domain up first, so that you don't run the risk of mail being lost while you move your domain from your current provider to Pobox. But you need to change your forwarding address first.