I use the program Aid4Mail to convert EML files into PST which is
fantastic when it comes to converting EML to PST as you can replicate
the existing file system directory structure in Outlook. However it
does not convert the embedded EML file to MSG. That is, any
attachments to an e-mail which are other EML files do not convert to
MSG.

If you import the EML files into Outlook Express and then export them
to Outlook, the attached EML files are converted to MSG, however you
cannot replicate the file system directory strucutre in this method
without manually creating the structure yourself.

Does anyone know of an application that will do the conversion of EML
to PST (or EML to MSG even) but will also convert the embedded
attachments like what happens when you import / export using Outlook?

Thanks