There is a setting within Yoast – something to do with what they call ‘ugly permalinks’. If I recall correctly this has to be allowed. For some reason they call the forum permalinks ‘ugly’.
So – if that is not the issue and no other redirection going on then it might be time to ask your hosting support to see if that can work out why the forum permalinks are not being actioned.
Actually – before you do that – also go to the forum admin > Integration > Page and Permalinks and try clicking on the ‘update forum permalinks’ button about half way down. See if that helps. But do remember to check the Yoast SEO setting first.