OpenVMS TCP/IP Services SMTP mail is nowhere near as capable nor as flexible as sendmail or another modern mail transport, and it lacks an analog to SMART_HOST.
Process Software does have a connector available for their mail stacks, where OpenVMS acts as a mail client of a remote mail server; that's probably the closest to what you want here.
As for brute-force options, open up UAF, spill all of the usernames (eg: UAF> LIST /BRIEF), and use that listing to set forwarding for each? That's probably five minutes in a text editor, plus adding an upkeep step when you create any new users, or to your local username creation procedure. That'll leave SMTP mail running, though.
And there's the big-hammer approach. Move mail. All of it. Search for command references, and tweak them. (The "fun" here is that you'll need a replacement mail client, or a way to forward the mail. There are pine ports around that might be useful. And something akin to MIME or mayhap SFF (see below) may be applicable.) This is not the incremental solution to the migration that you clearly want, though.
As part of this, there are procedures around that migrate mail messages along, FWIW. From the OpenVMS mail files along to (say) mbox format.
SFF:
http://groups.google.com/group/comp.os.vms/browse_thread/thread/ea6b54c9cf51c03a/457426fd8ebc8f9c
