If you need .vcf files instead of .msg when exporting contacts in Outlook, there is a slight difference if you want to export multiple or all contacts.
Exporting a single contact works via right-click on the contact -> forward -> first option. But when selecting multiple contacts this context sub menu disappears.
Solution: Use the “forward contacts” button in the tools menu on the top of Outlook. Here you can choose to forward as VCF and then drag the .vcf files out of the appearing e-mail window.