Moving local mailmessage to Exchange account folder


I am creating a local mailmesssage with a file attachment according to this link,

I want to place this local mailmessage to a folder in my exchange account, but using Move Exchange Mail Message shows “Invalid Mail Message” error.
I would prefer to not set up Rules in the exchange account, so was wondering it is possible to use Move Exchange Mail Message with a local mailmessage.

Thanks in advance!