Personally, I have not done this.  But it also does not appear to be possible with the OOTB Exchange integration/brokers available either.

* No OOTB method/functionality exists to return an email/message(.msg) file; I assume you would like to upload the .msg file to a SharePoint library/list attachments?

As such, your options may be:

a.  Using custom code within the K2 Workflow (that interacts with Exchange API/Web Service and/or Sharepoint API/Web Service):

https://help.k2.com/onlinehelp/K2blackpearl/DevRef/current/default.htm#CustomCodeWorkflow.htm

b.  Building  a custom service broker, that interact with Exchange and SharePoint (if you wish for reusability of this functionality via  SmartObjects):
https://help.k2.com/onlinehelp/k2blackpearl/devref/current/default.htm#Custom_Service_Brokers.htm

c.  Exploring if this custom service broker is able to retrieve an email/message:

http://community.k2.com/t5/K2-blackpearl/Exchange-Mailbox-Service-Broker/ba-p/88622

Then perhaps you can use the SharePoint list/library SmartObjects or Event to upload the file to the SharePoint.

A feature request can also be logged and monitored via the site below:

https://ideas.k2.com/