I think you're thinking about this problem in the wrong way because these days e-mail apps' import capabilities are not what they used to be. If you have a working installation of Outlook, what I would do in your situation is to connect your iCloud e-mail account via IMAP to Outlook then drag and drop the e-mail into your iCloud folders. When you fire up Apple Mail, it should start downloading the mail. If you want to then transfer the mail out of IMAP and into Apple Mail's "on this Mac" (so it is only stored locally), that's up to you.
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