MSG Files in SharePoint Document Libraries May Contained Attachments with Blocked File Types

Hello all, 

We blocked audio and video file types (example, *.wav) in our on-premise SharePoint 2016 environment in order to conserve disk space. When users upload emails from Outlook into a document library, the file is saved as type *.MSG. If the email had an attachment, the attachment is saved as part of the MSG file. I've noticed that SharePoint is allowing blocked file types embedded in MSG files to be saved in SharePoint document libraries. 

For example, I dragged and dropped an Outlook email into a library with file type *.WAV as an attachment. SharePoint did not block it. 

Is there any way to stop users from uploading MSG files with attachments that should be blocked? If not, is there a way to search inside the MSG files for attachments with the blocked file types, for example, audio and video files? 

Thanks in advance!