Hello!
As the future options are concerned, there is an external program you could use for importing messages: Mercury/32.
Mercury is a mail-server program that also has IMAP-support. The basic idea is to install Mercury with its IMAP-support, then copy the messages from other e-mail clients to the IMAP-account (created by Mercury), then move that messages from the IMAP-account to Pegasus Mail's local mailbox.
I have never used that before, so I can only tell what you might do. The disadvantage is that you have to do so manually; the advantage is that the "transport" via IMAP follows standardised rules, so the messages should not be altered or get lost (to the best of my knowledge).
Another idea is that save the messages in a folder that is in Unix mailbox format (*.mbx-files when created in Pegasus Mail). Since Pegasus Mail has some (limited) support for *.mbx-files, one e-mail client could create such a folder, and the oether one (Pegasus Mail) would read it.
You could create a folder in the Unix mailbox format in the other e-mail client and then make Pegasus Mail (try to) read that file, either by copying that file to that Pegasus Mail user's mailbox directory (and renaming that file to an *.mbx-file), or by using the "Add mailbox to list..."-command (and poiting to that directory that contains the *.mbx-files).
As above, you should have to do the work manually...and again, the only thing I know about these conversion steps is the theory - I have never done that in practice, so I do not know about any pitfalls.
Perhaps, others can tell you more about that.