Email message Link/URL when importing

That’s normally what people do, but you can leave the messages in Mail if you want.

In the current public beta version of EagleFiler, you can use the Open Source URL command on a message to open the original message in Mail (if it exists).

It’s not specifically a conversation view, but if you sort by Title the messages in each thread will be grouped together in date order, and this will include sent messages if you had imported them.