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.
If its not working for you, check you have the latest version, this is a targeted release though so it may be that it just hasnt hit you yet. One thing that did arise, once the new version installed we could no longer run new and classic outlook (the icons are still there, but both now load the new - and to get to classic we had to toggle back).
Screenshot showing add to favourites

Screenshot showing multiple shared mailboxes in favourites

First two are actual mailboxes, next 3 are all shared mailboxes (denoted by the small figure bottom right of the folder)
What do mean with latest? I am on Clientversion: 20250314002.14, released on 21th may and it is still not available...