Using Classic Outlook on Windows for personal email, calendar, and contact management
Your screenshot appears to be groups, not shared mailboxes as such..
Shared mailboxes appears in a folder called 'Shared with me', whilst groups appear as a 3 people icon.
Right clicking on a folder inside a shared mailbox offers no way to add to favourite
Right clicking on a group does..
you can type to add in a shared mailbox from the favourites section, but this seemly just creates a filter in your mailbox for correspondence to/from that person: