My MIL solved this problem by telling people, "You need to send the mail directly to Joe, or call him yourself to tell him about the holiday dinner. He's a grownup now, he doesn't live here. It's not fair to ask me to remember to pass on your letters or your messages. You have his address and his phone; he and his wife gave it to you at the wedding."
You also can call every relative who does this and say, "I'm going to ask you to remember to send my mail directly to me. It's not fair to ask my parents to have to forward letters or messages to me. It's not fair to ask them to spend on the postage, or to spend the brain power to remember to tell me. If it's too much money or trouble to send my Christmas card directly to me, then maybe you shouldn't send them at all."
In the U.S., a person can simply write on the front of the envelope, "Return to sender, not at this address" and the post office will send it back. Of course, you run the risk that the post office will decide that the PARENTS don't live there anymore. (We can also write in the new address and stick it back in the box to be forwarded, on the same postage, by the post office.)
For any instance in which someone just writes your name inside the card, or includes the card in one envelope, tell your parents to just throw it away.