If you drag one or more e-mail message out of Outlook for Mac, it creates .eml files. These are just RFC2822 MIME source with a file extension—almost any mail client out there can read them.
If you drag an entire folder out, it creates a .mbox file. This is also a standard that many mail clients can read/import (Mail.app included).
I was the PM who led Outlook for Mac 2011; so I know many, many of those tricks. We rebuilt the thing in Cocoa with an entirely new Exchange client codebase—it was a beast of a project done in a fairly short period of time.
For better or worse, there were a lot of edges we didn't get a chance to smooth out by the ship date though I believe we made reasonably solid trade-off calls based on the team and deadlines we had. Updating the Export feature was one of those trade-offs (it's just not a super frequent user activity); that part of Outlook leveraged code from the much-despised Microsoft Entourage. The app was far from as full-featured as some users wanted (especially Win Outlook switchers) BUT did make enough progress to avoid the backlash of other "rewrites" out there (e.g. Apple Final Cut Pro X).
Little insider history: we did a lot to try and make sure data didn't get locked-in... we really wanted a place where, even if your app crashed, you could always get the data out of the app. During development, we even had builds where the entire underlying database was exposed as XML docs (one per item in your db). We couldn't get the perf we wanted out of that system. We ended-up with Outlook 2011's database which still bites folks from time to time but has a lot more "recoverability" than previous products such as Entourage (where it users often cited being locked-out of their database).
Maybe different now—back then, nearly everyone only had a single Exchange account. We looked at supporting both WebDAV and EWS. The result would have introduced by confusing UX but also reduce reliability of both solutions (adds a lot of testing complexity). Instead, we did a release of Entourage with WebDAV (a horrible protocol that Exchange barely ever supported) and a free update with just EWS support (also rough initially, but much better designed and fuller-featured).
When we got to building Outlook, we decided to look forward—Cocoa and EWS only, building a strong base so that future releases could be far more capable. When I started on Entourage, the team was executing on a strategy to shove Exchange capability into a consumer-oriented app. It was shaky from the start, there were so many problems and customer complaints. I gradually learned as a PM that often a more impactful but riskier product strategy is to go big—instead of fixing 50 small issues a week at a time, fix 1 big issue that takes a year but renders the 50 irrelevant.
If you drag one or more e-mail message out of Outlook for Mac, it creates .eml files. These are just RFC2822 MIME source with a file extension—almost any mail client out there can read them. If you drag an entire folder out, it creates a .mbox file. This is also a standard that many mail clients can read/import (Mail.app included).