Overview
When adding a shared mailbox, You have to add it as IMAP account under Advanced Settings in Outlook.
Name : Shared Mailbox Name
E-mail: shared_mailbox_name@contoso.com
IMAP:
Host: outlook.office365.com
Username: user_login@contoso.com\sharedmailbox
Password: user_password
SMTP
Host: smtp.office365.com:587
Username: user_login@contoso.com
Password: user_password