Yes You cannot directly convert EMLX files in Outlook. because Outlook does not support the EMLX format. you have to need a EMLX converter so you can use Dailysoft EMLX converter this tool is a recognise tool and it can convert Apple Mail email files to PDF, PST, MSG, MBOX, HTML, NSF, TGZ, etc. It gives multiple EMLX files at once without any limits.
This tool help you convert EMLX files to a compatible format which you can then import into Outlook. There are various paid and free conversion tools available online to help with this process. so this is a one of the best tool.