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Report message add-in and Shared Mailboxes
the inbuild report button available across all the outlook clients for both consumer and enterprise support shared and delegate please check this out - Built-in report button is available in Microsoft Outlook across platforms | Microsoft Community Hub
As a workaround you can login as the Shared Mailbox on Outlook for Desktop.
If you go to the admin centre and look for the Shared Mailbox within your Users you can set a password and login with the username allocated to the Shared Mailbox.
It will let you send and receive as the Shared Mailbox as well as have a separate Contacts and Calendar which for our setup works way better than Groups (as you can also integrate third party software to log support requests and the features you want are available in addition to the Share to Teams feature and Sensitivity Labels).