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).