Ah, what you're referring to are the Windows Explorer commands. Those don't control how Outlook behaves. Think of it like this: transferring to/from Outlook is like transferring between 2 hard drives or 2 partitions rather than within the same partition. In Windows, if you transfer between 2 partitions, it will always be a move, unless you specifically right-click, select copy, and then paste. When you transfer from one partition to another by click and drag, it'll just copy, not move.
Another way to look at it is that in reality, Outlook is a database application. In order for you to get anything out of Outlook and into the Windows Explorer environment (a separate file), that item has to be exported from the database. When you export anything from any database (that I'm aware of, at least), the database creates a file-based copy of what is STILL in the database - the database itself is unchanged.