According to my test, in New Outlook you have to download the attachment and then save to the desired location.
The new Outlook is not yet complete, and some options may not be available or work as expected. You can switch back to the classic Outlook at any time by clicking the toggle button in the top right corner of the window.
Besides, many features of our current products are designed and upgraded based on customers’ feedback. To get this feature more quickly, I have found some posts in feedback collection website, and you could vote for them. You can also make suggestions on that website and hope Microsoft will notice this in the future.
save as attachments · Community (microsoft.com)
I am unable to save attached files on the "New Outlook" · Community (microsoft.com)
Thank you for your understanding and support!
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