Happens in a lot of places/on other phones
Howdy, this "call forwarding active" message pops up on a lot of phones, not just the iPhone. I used to be on SunCom ("A Member of the AT&T Wireless Network") and started getting these messages on my Sony Ericsson, Nokia and Motorola phones once I started using GSM.
My theory is that there is a brief period of time while you are dialing out wherein the GSM system cannot deliver a new incoming call to you. Have you ever mysteriously gotten a voice mail less than a minute after having started a new call? I have. I think that while my phone is connecting to the number I have just dialed, the network simply forwards all new incoming calls straight to voicemail (or your forwarding destination should you have set one). A corollary is that I have been attempting to dial a new number, hit send, and just as the phone starts to connect, the outgoing call is dropped and a new call rings in. I think this is the same limitation-- one connection can be STARTED at a time; but once the connection is established, more can come in.
All that said, I find the pop-up EXTREMELY annoying. Often I have my phone on either a headset, handset or Bluetooth, and need to switch to one of the other options (say handset to speaker, or headset to bluetooth). Often I can't get to the dialog to make the switch quickly enough because of that darn message.
I would LOVE to find a way to disable that dialog.