I can confirm that it does not work with messages already in the inbox, using Message/Apply Rules. The background colour changes, but no message is generated. (I test it disconnected from the network, so there would be an error message if it was working. Likewise, forwarding does not work from a rule. These functions as far as I rememeber do not work in Applescript either.
If you really need it to work, have your rule fire an applescript and let it build a new message from the info in the incoming message and send the new message. That does work.

AK