If you want to create an event into a shared calendar, switch to Split view first (click Week on top -> Split view), make sure the shared calendar is selected under Other calendars, then right-click on the corresponding time slot and create the event.
Right, by right-click I meant left-click on an empty slot. At least that's how it works in Edge. And there's also a handy drop-down on top that allows you to select the calendar in which to create the event:
I've found that I have to remove the calendars I have listed under Other Calendars and then re-add them from the directory. When they appear under Peoples Calendars (and after a refresh of the browser), changing to split view and then trying to add the event, I am now getting the option of which calendar I want to add to!
Annoying that I'm going to have to remove and re-add all my calendars though!