No, not conversations, actual data. Think reports, invoices, large PDFs, etc. Emailing files to yourself, that sort of thing. Then they end up with multiple PSTs.
But I've seen enough corrupted PST files in my days to never trust Outlook/Exchange as permanent file storage.
Now with "New" Outlook you don't even get that, you get an ODT cache file, everything else is permanently server side in Microsoft land.
Enterprise "productivity" software is fundamentally broken.