Hi Mohamed Mosaad,
Thank you for reaching out to us on Microsoft Q&A forum. The option which you are trying to find “when replying to a message that is not in the Inbox, save the reply in the same folder” is currently not available in the New Outlook. This feature is present in the previous traditional Outlook for desktop and not migrated when it comes to New Outlook. Currently in New Outlook there is no direct setting to configure this behavior in the New Outlook interface. Provide feedback in the App: Help-->Feedback
Find out new features available in New Outlook:
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Thank you.