As default, email sent to your domain name will be lost until you set up your Email Forwarding via your domain login area.
It will take a short time for the setting to update once you do set this forwarding up.
There is no need to transfer your domain name to use it with any other web host, however, sometimes you may wish to transfer your domain name away to another domain name host so that their renewal costs will apply. There is an admin charge for transfers away to other hosts.
There is no cost to transfer-in any .UK domain name however there is a 1 year renewal cost added to all non-UK domains