I have the task to get several Mails with the Graph API and archive those as .msg files to a server. Right now, i'm only able to get mails as MIME. Is there a way to transform those into .msg files?
MSG file format is specific to the Windows version of Outlook. Neither Graph nor EWS expose that file format in any way. You can create an MSG file (see How to create ".msg" file without using outlook in mfc?) and import EML into it.
Also note that Outlook will be just as happy to open and display an EML file as an MSG file, so it might make sense to work with EML files, even if they don't expose all the information and MAPI specific properties that an MSG file can store.