Using New Outlook on Windows for personal email, calendar, and contact management
Hi!
The new Outlook does not have an option to export all emails from a specific conversation. You can only export your entire mailbox (all emails) to an MBOX file or export emails one by one (bulk export isn't possible) by right-clicking and selecting "Save as" > "Save as EML."
If you want to export emails from a specific conversation only, you can try using Outlook Classic, which offers more export options.