There do exist dedicated programs for MSG/EML conversion to Outlook PST. Usually with batch conversion support. These programs are used because it can sometimes be very unwieldy to import msg directly to Outlook, but of course it is also possible.
Convert Saved email message to Microsoft Outlook personal storage table.
We found 2 software records in the database related to .msg to .pst file format conversion.
Microsoft Windows software - convert msg to pst on Windows
An e-mail management tool distributed with Microsoft Office suite
Convert from msg file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned msg to pst. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A simple converter for Email to Outlook files