Go to Settings -> SMTP and Mailgun Service

Forwarding Address:

You will receive the email replies not only in the Conversation view, but also in your personal email inbox.

When you reply to the leads' email in your inbox outside HL, your reply will not sync back to HL.

BCC Emails:

You will receive every email that goes out from that location.

Forward to assigned user:

The assigned user to the lead will receive the email replies in their user email.

Limitation if you are using SMTP provider like Outlook:

When a lead reply to the emails sending from HighLevel, it comes back to the conversation tab, the system then attempts to forward the response email from the lead’s email address (masking)

We are essentially using your SMTP using the lead’s email as the sender email. So it gets flagged because the from email is the lead’s email and not yours during the forwarding process.