Built-in report button is available in Microsoft Outlook across platforms

All outlook clients except outlook classic support shared and delegate mailbox reporting - https://learn.microsoft.com/en-us/defender-office-365/submissions-outlook-report-messages#use-the-built-in-report-button-in-outlook. 
As outlook classic is being looked for deprecation given new outlook client and OWA, I dont think the Outlook team will add support for shared and delegate there.