I thought so. The rule should rewrite the sender address. If you e.g. forward a mail from gmail.com via rule, then it keeps its gmail.com sender address, but the recipients mailserver sees your mail server IP address, which is not part of gmails SPF and DKIM.
Automated rule based forwarding should be avoided at all, because of such problems. Even if there exists something like SRS (Sender rewrite Scheme), it is not a guarantee that the forwarded mail will reach the recipient.