In a DLP incident, when you click on the "Open Original Message" link, the file is downloaded in the .eml format.
Can this format be changed to .msg or any format other than .eml?
The message is sent to the DLP servers in the .eml format.
It is not possible to download the message in any format other than .eml.
Once the .eml file is downloaded with the "Open Original Message" link, you can use Outlook to save the file as a .msg file.
Or you can use a third party application to convert the .eml file to a .msg file.