Hypothetical setup:
sender → email to user@example.com → forwarder app at example.com → Mailgun → user@gmail.com → Gmail recipient
The problem with Mailgun being used as middleman is when recipient marks the email from a particular sender (who might be malicious) as spam, Mailgun will block the forwarder app from sending any more emails to user@gmail.com.
This is because Mailgun is designed for a scenario where the app at @example.com is the originator of the messages and not simply the proxy.
So if one uses Mailgun (or DNSimple, that uses Mailgun) for email forwarding, they will stop receiving email completely as soon as they mark one email as spam.