If MBOX Import/Export Option is greyed out in Outlook, there could be some policy restriction in place or corrupted profile, Check this guide to know more.

Exporting all MBOX emails to PST files with attachments on every Windows platform. Bulk importing MBOX data items into Outlook files without size limitations.

If you see You should only open attachments from a trustworthy source message in Outlook, you can disable it via Registry, Trust Center, etc.