Yes, it’s possible to convert MSG files to PST without changing the original email data. The main thing is to use a tool that preserves the email structure, attachments, dates, sender/recipient details etc.
I’ve seen people use tools like Softaken MSG to PST Converter for this, especially when there are a lot of MSG files. Just make sure to preview a few emails after conversion and compare them with the original MSG files before doing the full batch.
If you’re only dealing with a few MSG files, the manual Outlook method can work too. For hundreds of files, a converter is usually less of a headache.