Do you have Outlook installed?
Do .msg previews work OK in File Explorer?
If Outlook is installed but .msg previews aren't working, check in Opus under Settings / Preferences / Viewer / Plugins. Select the ActiveX + Preview + Office + Web plugin and click Configure. That will show which preview handlers are installed on your system. It's possible there is a .msg handler there but the file extension isn't assigned to it; if so, you can fix that there.
A post later in the linked thread says you can also use the Windows Mail preview handler if Outlook isn't installed.