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You need to use Preserve embedded EML format while converting to MSG format. Please have a look at the following code sample for your kind reference. If the issue still persists, please share your sample PST file and code with us for further investigation at our end.
string dataDir = RunExamples.GetDataDir_Email();
var eml = MailMessage.Load(dataDir + "sample.eml", new EmlLoadOptions());
var options = MapiConversionOptions.UnicodeFormat;
//Preserve Embedded Message Format
options.PreserveEmbeddedMessageFormat = true;
//Convert EML to MSG with Options
var msg = MapiMessage.FromMailMessage(eml, options);