To the best of my knowledge 'New Outlook' does not support PST files.


You can have Outlook Classic and New Outlook on the same PC. (Office install is still installing Outlook Classic, it's just only pins the New Outlook icon to the Start Menu)

Try Opening Outlook Classic, connect your 365 account; Import you PST file (or open you PST and copy your wanted data to 365).
Check your 365 account for the data (I'd do this in a browser).
Close Outlook Classic and carry on using New Outlook.