Forward shared mailbox to Office365 Group

With "Office365 - Exchange Online" UI, it is not possible to forward email to MS365 Group. So the solution is to use PowerShell to apply forwarding rule.
You need to run following commands
$Cred = Get-Credential

$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.outlook.com/powershell/ -Credential $Cred -Authentication Basic -AllowRedirection
Import-PSSession $Session

New-Mailbox -Shared -Name "SharedMailBoxName" -DisplayName "SharedMailBoxName" -Alias SharedMailBoxName | Set-Mailbox -Identity SharedMailbox -ForwardingAddress Groups@domain.com -DeliverToMailboxAndForward $true

You can try the below mentioned command:

Set-Mailbox -Identity SharedMailbox -ForwardingAddress Groups@domain.com -DeliverToMailboxAndForward $true

or

Get-MessageTrace -RecipientAddress sharedmailbox@contoso.com | Get-MessageTraceDetail

If you would see a Fail under Event tab, then run below command

Get-MessageTrace -RecipientAddress sharedmailbox@contoso.com | Get-MessageTraceDetail | where {$_.event -eq "fail"} | fl

It is, just add the group address when asked (or provide it to the -forwardingsmtpaddress in PowerShell).