Using New Outlook on Windows for personal email, calendar, and contact management
Hi! Sorry to hear you’re having trouble with this. In classic Outlook on Windows, dragging a message out to a file location should normally create a .msg file, while in new Outlook, saving messages through Save as/Download, a PDF is handled separately through Print to PDF rather than normal drag-and-drop.
Because you already switched back to Classic Outlook and it is still saving as PDF, that is not the expected Outlook behavior and suggests something else is interfering with the drag operation. First, check File > Options > Add-ins > Manage: COM Add-ins > Go and temporarily disable any Adobe Acrobat / PDF add-ins, then fully close and reopen Outlook and test again by dragging one message into a regular File Explorer folder.