Fix some finite-dimensional space $\mathcal X$. Define a POVM as a collection of positive operators summing to the identity: $\mu\equiv \{\mu(a):a\in\Sigma\}\subset{\rm Pos}(\mathcal X)$ such that $\sum_{a\in\Sigma}\mu(a)=I_{\mathcal X}$, where $\Sigma$ denotes some finite register.
A POVM $\mu$ is said to be extremal if it cannot be written as a (nontrivial) convex combination of other POVMs. Moreover, we say that a POVM is projective if each $\mu(a)$ is a (not necessarily unit trace) projection.
As discussed in Watrous' book, one can prove that any projective POVM is extremal.
Does the implication work in the other direction as well? If not, what are examples of extremal non-projective POVMs?
(Impossible for binary-outcome POVMs) At least in the case of two-element POVMs, this doesn't seem to be possible: if $\mu(1)+\mu(2)=I$, then they are mutually (unitarily) diagonalisable. In an appropriate choice of basis, we can write $$\mu(1)= \operatorname{diag}(s_1,...,s_n), \qquad \mu(2)=\operatorname{diag}(1-s_1,...,1-s_n),$$ for some $s_i\in[0,1]$. Such a POVM is projective iff $s_i\in\{0,1\}$ for all $i=1,...,n$. Suppose that the POVM is not projective, and thus there is some $s_i\in(0,1)$. Let us assume without loss of generality that $s_1\in(0,1)$. Define the Hermitian operators $$\theta(1)\equiv \operatorname{diag}(\epsilon,0,...,0), \qquad \theta(2)\equiv \operatorname{diag}(-\epsilon,0,...,0),$$ for some $\epsilon< \min(s_1,1-s_1)$. Then $\mu\pm\theta$ are again two POVMs, and $$\mu=\frac{1}{2}((\mu+\theta)+(\mu-\theta)),$$ and thus $\mu$ is not extremal. However, this argument relies on the POVM elements being mutually diagonalisable, which is only the case for two-outcome POVMs.