actually the attachments are inside the msg files but the DocuWare Viewer is only able to display the text part of the email. If you want to open the attachments you can download the msg file and open it locally to access the attachments.
In order to address this you would need a real mail server and either Connect to Outlook or Connect to Mail. Then you would put the emails into the email application of your choice (e.g. Outlook for Connect to Outlook or Thunderbird when using Connect to Mail). Both of the moduls are able to not only store themail but also to store the attachments of the email as separate files to DocuWare.
I hope this helps.