This is such a strange behaviour that it could be said this actually is a bug in Outlook, persisting to version 2016 nonetheless. Perhaps it is deemed a low prioity by Microsoft, reason why it takes such a long time to fix.
Compounding the problem is that if you press "yes" in the diologue box that you show, there is no going back if you chose the "move" command (or just dragged e-mails from the folder to another folder). If there are a lot, Outlook freezes for a while and an e-mail gets created with the items as attachment. The items are lost of you don't save that e-mail. You can save all the attachments into a file system .msg file, but dragging and dropping them from a file system folder into Outlook opens up the same problem and the dialogue box appears again.
What's even worse, I think that some of the items that are movable are not created into an attachment but are actually moved (but then again not all of those), leading to a very inconsistent state of your items.
What I chose as a solution (after trying many other things, including some VBA script) is to keep the messages stored on the file system as .msg files, along with a readme file of where they are supposed to go and hope for a future bug fix by Microsoft, hopefull within a few years. Not much of a solution, but the only one that I am able to do right now. Every new major version I will try to import them again. I might update this answer if successful.