Did you happen to have a gmail account and let Outlook set it up automatically? If you let it do that, it insists on sync'ing through iCloud and prevents from dragging emails between accounts ("for your convenience", as it dares to say)!
One workaround is to click on "Not Google?" when it presents you with the iClould sync warning dialog. Then it will offer you a choice of manual setups. Just choose imap/pop. All defaults were filled correctly for once (Aug. 2021), just enter your password. Now it's setup correctly and you can drag emails between accounts.
FYI, the previous workaround was to start setting up the new mail account with a bogus email address from a bogus domain name Outlook does not know about. Then do as previously, choose to setup the account as imap/pop, correct the email name, etc...