Thanks for the reply. An update from my end:

It seems that there might be a distinction between enabling "unconditional call forwarding" in the iPhone settings (or enabling via *21) vs. calling AT&T and asking them to setup a manual "Immediate Call Forward".

AT&T insists I must call them to manually setup the "immediate call forward" to avoid possible roaming charges on missed calls. Three different reps would not change their story on this.

This seems to support some of the isolated stories where *21 or setting call forwarding on the iPhone still resulted in roaming charges for some people on rare occasions. I am still waiting on AT&T for clarification about the difference between "immediate call forward" vs. "unconditional call forward".