Hi there, from my best knowledge without 3rd party tools we can't save files directly from Outlook (Office365) desktop application to SharePoint (alternative option is save them to local/One Drive then move to SharePoint). Just wondering is there any option/Add-In available for Outlook client to enable this feature?
Chrome and Edge allow drag and drop of emails (or attachments) from the Outlook client (Windows) to the browser. This will create a file in SharePoint based on the subject. For example, <subject>.msg If you need additional logic (e.g. unique name based on the email's subject + sent date), extract email metadata, check for duplicates, ... you will need to resort to 3rd party apps.