MSG files are individual Outlook message files, which you can open separately, but they are not complete mailbox archive. But converting OLM files to MSG file does not make files directly compatible with Outlook for Windows in same way as PST.
If you want to move an entire OLM mailbox to Windows Outlook, then converting the OLM files into PST is more suitable. Kernel OLM to PST Converter can convert OLM files into PST format, which can be imported to Windows Outlook along with maibox data.