SharePoint Online: DocID link downloads documents (.msg only) instead of opening it in client app

When the DocId feature is enabled the link looks like this:

https://intranet.company.local/sites/test/_layouts/15/DocIdRedir.aspx?ID=H5QDD2XCJXV4-1303922799-9727.

When I click on the link for .msg file, it downloads the document, the expected behavior is, it should open the document. The .pdf file works as expected.