I've done this and never encountered this issue so I'm assuming it's got to do something with the e-mails that are being forward or some type of spam protection that's causing the issue.
Try e-mailing your hotmail account with "This is a test" and only one e-mail address in the sender and to and see if the same issue occurs. If not I'd assume it has something to do with either hotmail or your other e-mail client thinking it's spam.
