Using Classic Outlook on Windows for personal email, calendar, and contact management
Right-Click on the Inbox, or any other folder, and Add to Favourites.
You can also click on the three-dot menu of the folder.This works on any folder in all my shared mailboxes.
Only on the Desktop App - Outlook 365. It does not work on the web version or the PWA (i don't know if these two are the same).
Doesn't work for mailboxes under "Shared with me", just your own, which is the entire problem. (Appears to be build 2025-1-20 on my PC so maybe there's a newer build?)