Using classic Outlook for Windows in business environments
I thought the same - but, I just tried it - and ToDo (on the side bar of Outlook 365 installed application) DID indeed open the related email in an outlook sub-window (like normal messages do when you break them out).
Now, that being said - the ToDo pane is a sad facsimile of the ToDo application. So it's not a substitute - to fully utilize ToDo, you need the app. But if you use the App, the emails don't open in Outlook.
They're getting close - but it's not there yet.
Are you on PC? I am a Mac user, and sadly, this is not a functionality I have in my version of the app.