OOTB this is indeed not possible. The standard SharePoint email view shows the email contents in the browser but the attachments cannot be opened. The user has to download the msg email, open the email with their mail client (often Outlook) and then click an attachment to open using the local application (e.g. Word).
There are apps that offer this capability. See
https://directory.collab365.com/office365-sharepoint/sharepoint-email-management-software/
and
https://directory.collab365.com/listing/slim-companion-email-manager/
Some of the apps allow viewing of email attachments (pdf, images, xlsx, pptx, .. etc) directly in the browser. This helps users and reduces the amount of email content that is downloaded to local machines (i.e. reduce compliance and security risks).
Another approach is to instruct users to download msg emails and then open them using the local mail client. This process can be optimized by configuring the browser using GPO policies to directly open downloaded emails from your SharePoint tenant using the local mail client. This requires control of the end-users computers and the emails end up in the browser's download folder. Again, this may not be compliant with your organizations' security policies.