It seems, that in case of rule governed forwarding, the GroupWise ignores the Reply Format settings which inlcudes header data (Include headers). On the other hand, if there is a manual forwarding occurs then all the header data will be included at time of forwarding.

1) Click Tools > Opitons > Environment > Reply Format and click Include headers at plain text and html too.
2) Create a forwarding rule: Tools > Rules and Action > Forward.
3) Forward an email by manual and send yourself an email too.
4) Compare the email sent by manual and the rule.

Our customer'd like to see the header data in rule governed forwarding message too.