Yes, you cannot directly
import MSG files into iCloud Mail from Outlook 2019. MSG is a proprietary Outlook message format and iCloud Mail does not support direct MSG import. To move emails, open MSG in Outlook, then convert or save them as EML or PST and upload via iCloud IMAP or drag into Apple Mail. Alternatively, use conversion tools or Outlook export options to sync messages to iCloud-supported formats. Since iCloud Mail works over IMAP, the most reliable approach is to ensure messages are stored in a compatible mail client rather than attempting direct MSG upload. You can also import MSG into Outlook, add iCloud account, and drag emails into iCloud folders for synchronization. Using EML conversion is usually the simplest and most compatible workaround. It avoids formatting issues and preserves attachments during transfer. However, direct import is not possible.