I've got it working. It seems that you have to create a Shell or FTP user and then set up a domain that has PHP as a CGI running on that user. Then you can put the .forward file in that user's home directory.
If there is no domain hosting with PHP on that user, then it returns errors saying it can't run.
Not the most straightforward, but it now appears to work... Have to have this extra empty website running somewhere though!