Dear --AIM--,
Thanks for posting the query you encounter in our forum. According to my research, here are the answers regarding your questions:
1/ Opening .MSG Files in Outlook for Mac
Unfortunately, Outlook for Mac does not natively support .MSG files, attempting to open them directly in Outlook for Mac will not work.
Regarding Outlook on the Web, the ability to open .MSG files is limited. Since .MSG files are proprietary to Outlook for Windows, they are not designed to be accessed via Outlook on the Web.
If you are moving from PC to Mac, we recommend that export the your date from Outlook for windows as a .pst file:
And then import the file into Outlook for Mac as the following article shows:
https://support.office.com/en-us/article/import-a-pst-file-into-outlook-for-mac-from-outlook-for-windows-b4a6a1d6-94bb-4c85-a4fc-a83dc690e18c
2/Convert *.eml files to *.msg format
Outlook for Mac does not natively support .MSG files, nor does it provide an option to convert .EML files to .MSG format. To accomplish this, third-party file conversion software is required.
I hope this helps clarify your concerns. Please let us know if you need further assistance!
Best regards,
Katherine V - MSFT | Microsoft Community Support Specialist