Yes, you can convert MSG files to PDF on Windows without installing Outlook. Just don't change the extension on .msg files to .pdf; it doesn't make a proper PDF and can make the email unreadable.
First copy your MSG folder so the original emails are safe. After that, use a standalone Windows tool that can read MSG files directly. WholeClear MSG to PDF Converter can help here because it does not need Outlook or Adobe Acrobat. It also keeps the email body, formatting, properties and attachments during conversion.
Before converting the whole folder, run a small check with 5 to 10 MSG files. Open the PDF output and match the sender, date, subject, message text and attachments with the original emails.
The demo build is enough for checking the result first; then you can move ahead with the complete folder.