I’ve been searching but haven’t gotten an answer
According to MS, you need shared storage like One Drive or SharePoint for this to work, so I’d say no: Document collaboration and co-authoring - Microsoft Support
What I don’t know for sure, but I think they would have mentioned it if it would work, is whether MS Office co-editing also works on shared storage other than SharePoint and OneDrive, specifically WebDAV mounts?
If so, you might be able to mount Nextcloud file shares as network drives on your Windows clients and co-edit documents that way.
If not, then I’m afraid the answer to your question is a definite no.
I read about locally hosting MS Office Web Version. That ist possoble with some M365 license. That webbased version can be integrateed with Nextcloud instead of collabora.
No 100% sure but I assume only Nextcloud Enterprise.
I’m pretty sure the local installation of MS Office only allows OneDrive as a backend as it doesn’t even autosave on local storage anymore.
Also I heard rumors, that the co-working functionality of locel installed Office is not as good as the one on Collabora and Nextcloud. Didn’t have any issue myslef though, on MS Office.
Yep, there’s an app for that: Office Online integration - Apps - App Store - Nextcloud, but I didn’t mention it because @nisrinamptr explicitly talked about editing files locally.
I’m not 100% sure either, but I don’t think you need Nextcloud Enterprise to use it. However, I have no idea what’s required on the MS side of things. I mean, obviously you need an Office Online server, but I have no idea what the requirements are to run it, but it probably won’t be cheap, neither in terms of licensing costs nor hardware requirements 
From what I hear, it works, if you use OneDrive or SharePoint as a backend, but there are occasional issues (sync problems etc), so using Office Online for live co-editing is probably better, and most likely the only option to use live co-editing with MS Office in Nextcloud anyways.
Whether Collabora (Nextcloud Office) or MS Office Online is better is of course debatable. Collabora = LibreOffice, MS Office Online = MS Office. However, the web versions of both products still have fewer features than their desktop counterparts, so it also depends on whether the features offered by the respective web apps are sufficient for you or not.