Opening a .msg file automatically saves it to my Outlook inbox.

This issue occurs when you try to open a .msg file which is not in your Outlook inbox and stored in an external area i.e. SharePoint or your computer. This issue is a bug in Outlook and it is not a result of using MacroView DMF. At this stage there is no documented solution available.

Please refer to the link below from the Microsoft community where this issue was discussed.
https://answers.microsoft.com/en-us/msoffice/forum/msoffice_outlook-mso_win10-mso_2013_release/opening-msg-file-from-computer-automatically-saves/05ca362d-ed76-4164-964b-b9a85ca25c4a

Alternatively, you can contact Microsoft Support on the link below for further assistance.