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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.
* A couple of releases ago I implemented a signature cache, so if a node sees a transaction broadcast it doesn't have to re-check it when that transaction is part of a block.