Organizing and accessing contact information in Outlook.com
As of today, Outlook.com and Outlook on the web still do not provide a built-in option to automatically create a contact for every sender or recipient of email. You can enable Trust email from my contacts so existing contacts are treated as safe senders, but contacts themselves must generally be created manually or through third-party automation solutions.
If this functionality is important to you, I recommend submitting feedback through Outlook Feedback (Help > Feedback) so it can be considered by the product team.