What happens when importing a PST file in Outlook for Mac?
When you import a .PST Windows file into Office 2016 on the Mac the PST file is imported into a folder under the heading "On My Computer." The folder structure is maintained and nothing is uploaded to your exchange server that I could tell.

Also of note is that the data is actually imported, where on Windows the PST file is used as a read/write data store.

You also seem to have access to the calendar and contacts data if that was exported as well.