What about exporting to pst files from Outlook? Except eDiscovery, you can export items manually from Outlook. For your reference: Export or backup email, contacts, and calendar to an Outlook .pst file. Otherwise, you may have to use the third-party tool to reach your requirement.
Here are also some similar threads for more information:
Export Online Archive from o365 to pst,
How to Export Office 365 Mailboxes to PST- 3 Ultimate Solutions.
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