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The rule *should* have 4 steps:
- Delete Message
- Mark as Read
- Run AppleScript > Send to OmniFocus
- Stop evaluating rules

That AppleScript is what puts the action in the OmniFocus inbox.

However, if you're using Omni Sync Server already, you could use Mail Drop instead:
(Since Mail Drop adds actions directly to your OmniFocus database on the server, you don't have to wait for your Mac to receive the email and process the rules before you see the action in OmniFocus.)