Actually, there is a small incentive to forward transactions:
If you mine a block that contains a lot of transactions that have never been broadcast on the network, it will take your peers longer to verify that the signatures in the block are valid.*
So it takes your block longer to propagate through the network, which makes it slightly more likely to lose a block race.
There is a small incentive but not on all transactions, a node can decide to broadcast only transactions with small fees and keep transactions with a nice chunky fee to themselves until a block is discovered, this may indirectly introduce the opposite result of a high fee transaction getting confirmed slower because its not getting relayed (that might incentive usage of a fixed fee transactions actually?).