I have now investigated this, and I’m afraid it is bad news. Outlook puts no information to link back to a message on the pasteboard. I tested dragging from outlook into Mail, and the result is exactly the same, so apparently Apple are also not able to do it.
In short, it would be a lot of effort to get this working, and frankly Microsoft are not being good citizens. I recommend you contact their support to complain that they should provide a URL scheme so that other apps can link into Outlook.
For more info, see this thread. They manage to get something working with a bunch of different tools and AppleScript, but I’m afraid I don’t have time to hack solutions at this point in time. Maybe you can come up with something using AppleScript.