Hi @Nishanth Chakkere ,
Welcome to Q&A forum!
I'm sorry to get back to you so late, I've been unwell due to the novel coronavirus so I've taken some time off.
There are PowerShell scripts available to optimize/customize the search of .msg files stored in SharePoint, but it is recommended to use the Content Search tool in Microsoft 365 compliance center to search for content in SharePoint Online. The Content Search tool allows you to search for specific content in SharePoint Online, including .msg files, and provides more advanced search options than the out-of-the-box search capabilities in SharePoint Online. You can search for .msg files by subject, recipient (sent to and cc recipients), sender details (name and email address), specific date or within a date range, and files that have attachments in them. It is also possible to use KQL to search for content in SharePoint Online, but it may not be necessary if the Content Search tool provides the necessary search options. Creating more site level filters and verticals in MS Search may improve the quality of search, but it is not directly related to searching for .msg files in SharePoint Online.
For your references:
Finding content in SharePoint and OneDrive
Feature reference for Content search
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