Using New Outlook on Windows for personal email, calendar, and contact management
The feature is there but currently still in a limited form.
When you select the message, you can use the Flag button in the Ribbon, click on the flag icon which shows when you hover over the message in the Message List, or right click it for more options.
Actual pop-up reminders and setting custom dates and times is still a work in progress. For now however, you could create a "For Follow Up" Search folder to keep up with your flagged items.
Additionally see; Things to look forward to in the new Outlook for Windows - Microsoft Community Hub