Outlook 2011 - clicking email addresses inside the application opening in Apple Mail
Setting Default mail Client tells your system to use that one when requesting email from other applications. (outside of Email).

While in Email (Outlook or Mail) they will do as told.

In your case using MS Office Word, Excel, PowerPoint with email link in one of the documents, will by default use the chosen default mail client.

There is a simple work around.
Since you are probably not using heavy duty MS Office applications to handle your Mail.app but do so with Outlook, I would make the Outlook the default mail application.
Now you can use Mail as email and Outlook will be the default mail client for your work.