If I would start using your full email service do I need to host my own email server? I would prefer to only use Outlook as the client. I wonder what happens if I use clients on 2 or more devices, do all clients receive all email.

If I need to host my own mailserver what would be a good choice (on Windows or MacOS)

With full email service you won't need to run your own mail server.
With IMAP you can check mail on Outlook and nearly every other mail client available, at the same time if you wish. If you delete a message on one device, it updates all of them.