Yes, you can convert a full folder of MSG emails to PDF without changing the original file names.
The simple way is to use a tool that supports folder conversion. Just select your MSG folder, choose PDF as output, and start the process. The tool will convert all emails in one go. Most reliable converters also keep the same file names, so each email PDF will be saved with the original MSG name.
GainTools MSG to PDF Converter can do this task without changing your file structure. It also works in bulk so you don’t need to convert emails one by one.
Before doing the full folder, try a small folder first to make sure everything looks correct.