Outlook 2011 for Mac imports a lot of formats, but the one it imports best is the Entourage Archive format. If you want to move mail into Outlook 2011, use Emailchemy to convert your mail to the Entourage Archive format. This will create a file with a .rge extension. Outlook 2011 imports the rge file beautifully — all your subfolders in one shot.
Use Entourage Archive format to import mail into Outlook 2011