Beth, there should be a 'help' button on the BIS website. But I've not seen any official documentation per se...
There is a help button, and I've looked at the content a bunch of times, but it's not real clear to me.
However, after some experimenting, I see that there are two locations that have a "Do not foward messages to device" option - one location outside the filter area, and one location where you construct the filter.
I'm guessing that the location outside the filter is used to convey what to do with mail that does not match the screening criteria, and the location inside to configure what to do for email that does match screening criteria.
Let's break it down. Being English, I drink hot tea. So, from time to time, I might use a strainer with my tea bag...
Why?
Well, if I have the tea bag in the strainer, pour hot water on it, and then I squeeze the tea bag in the strainer, obviously so I don't get the bits of 'tea leaves' in my cup of tea...
See, the filter does just that, it stops email you DON'T want, from being delivered to your BlackBerry or email client (since email clients have similar filters)...