To export MSG emails without losing attachments the thing to do is use a good conversion tool. I think a professional tool like GainTools MSG Converter is an option. This tool makes sure that all your email data is safe during the process. You just need to add your MSG files to the tool pick the format you want like PST, EML or MBOX and start the export. The software keeps all your attachments, email formatting and metadata so you do not lose any data. After you convert the files you can open them in Microsoft Outlook or other email programs easily. It also has a free trial version so you can try it out before you buy it. This way you can see how it works with your MSG emails.