I just tried the Outlook desktop client at home for the first time with my Fastmail account. This screen [1] pops up during the Add Account process, saying that all my messages will be synced to the Microsoft Cloud for "better experience".
According to the linked support article, there are no options to disable this "feature" aside from removing the account. I used a new account to test it out, and was unable to find out where the data was synced to and there's no way to verify it was deleted completely after I removed the account.