I lucked out and was able to set the auto forward to my Gmail account back when they introduced that feature. About a week or two later they limited the forwarding address to only their domains(hotmail,live,msn). I guess they saw the telemetry where people were gearing up en masse to abandon them.
I seldom login into hotmail now and it's beyond me why they're still doing that god awful banner advertising on top and sides of the page which ruins the experience. It's such a late 90's move.