For this reason alone, I'm still using a Windows VM simply for the "real" Outlook for work purposes.
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).
Just wondering why the hell isn't this part of the export menu... great feature, undiscoverable as hell.
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).
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.
The only problem I know of with this approach, when coming from Outlook, are the Winmail.dat files that Outlook (or MS Exchange?) creates "to preserve text formatting".