That’s a good habit to have. I did a similar thing with most of the accounts when I started the privacy journey. Well, with a few exceptions like Facebook and Gmail. I couldn’t switch away from them completely because of friends and family. I use them minimally and there’s not much data of value left on those platform, so I didn’t mind keeping them.
What if you log in to Thunderbird using Microsoft email, configure the settings to fetch every email (I think the default is only taking the last 6 months or something), then when the sync is complete, move those emails to another mailbox configured in Thunderbird?