It did, but not any more.
They changed the menu in Control Panel > Internet Options in Outlook 2003.
But they only changed the label to reflect more accurately what people were
actually doing; setting Outlook Express to be the default news reader.
Selecting Outlook Express now invokes the same settings that the "Outlook"
option did in previous versions. In fact, it you were to go into Outlook
Express itself and set it to be the default news reader from within the
application, you'd disable these settings and the News option in Outlook
2003 completely.
They do these things just to drive us all crazy.