AFAIK, Microsoft has not developed features to open attachments from a .msg file stored in a library. Just like you say, The SPO preview of an email shows the presence of attachments but they cannot be opened without downloading the email and then using the local email client (e.g. Outlook) to open the attachment.
3rd party apps will be needed to do so. Here is a thread with similar question: https://techcommunity.microsoft.com/t5/sharepoint/drag-drop-msg-into-document-library-cannot-open-attachments-nor/m-p/449949
And you can vote in UserVoice to make Microsoft know your feeling about it.