Hi @AV1992
Based on my tests, I can reproduce your issue and in my opinion, it seems to be by design.
But if you store the notebooks on your personal OneDrive instead of OneDrive for Business, then you may insert .msg file as an attachment into OneNote for web.
The workaround is as you said, inserting the .msg file via OneNote desktop app first and sync to OneNote for web. But under this case, this .msg file can not be viewed online, you need to download it.
Or you may upload the .msg file to OneDrive first, then copy link of it, and paste to OneNote for web, then you may view it online.
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