Being a Windows native as well as a legacy Outlook user, I have always struggled on how to get the Esc key to work to close Outlook messages just like on Windows. Here’s how:
- Go to System Preferences > Keyboard > Shortcuts> App Shortcuts
- Click +
- Application: Microsoft Outlook.app
- Menu Title: Close
- Click: fn + ESC
Craig Smith 
Also, make sure you do the fn + esc from your mac keyboard… I found this didn’t work on my external Bluetooth keyboard.
fn ESC on the Mac keyboard simply exits the keyboard shortcut window?? I’m unable to set this shortcut to fn ESC — could not find a way?