Hello Thad. In Outlook.com (Web) - you can't right-click to save attachments directly from the preview pane. This is because of a change to the design of the built-in viewer. Microsoft has now taken a different approach by using a lightweight rendering engine. This lightweight rendering engine focuses on performance and securing your data and it can no longer display a right-click context menu while previewing an attachment. This is intentional and applies to common file types such as PDFs and Word files. You can always still preview attachments in Outlook on the web, however, but if you want to save the file - you must now either click the download icon, or click on the name of the attachment, click to open the dropdown menu and select the "Download" option, and then preview it after downloading.
To save an attachment quickly/efficiently you may follow below
Hover over the attachment in the email.
Now click the down arrow next to the file name.
Now click download - and that will now save the file directly to your device.
This change is in keeping with Microsoft's ongoing interface design standards for Outlook on the web and allows for a streamlined ways of handling attachments whilst maintaining your digital security.
Here's the reference: Right-Click Doesn't Work with PDF Attachments in Outlook
Best regards,