Answer
GFI MailEssentials bypasses the normal Microsoft Exchange Transport Rules when 'Deliver to Exchange Sub Folder' is chosen for the Spam Action.To forward spam messages from a sub folder, you will need to create an Outlook forwarding rule.
For more information on creating these rules, please follow this link: http://office.microsoft.com/en-us/outlook-help/automatically-forward-messages-to-another-e-mail-account-HA001150201.aspx