Using Classic Outlook on Windows for personal email, calendar, and contact management
You can now (with the new version) add the inbox of a shared mailbox to favourites. Clicking on the three dots to the right of the inbox folder name and then clicking 'Add to Favourites'. There appears to be a caveat though, the shared mailbox MUST be an actual 'Shared' mailbox, and not simply a 'User' Mailbox that you have access rights to (even though they will both show under the 'Shared with me' folder.