Search in Outlook does not include Shared/Additional Mailbox contents

I do think this is a bug but as a workaround, turning off cached mode for shared folders solves this issue. Now users can search shared mailboxes from Outlook 2016.

File tab -> Account Settings -> Double-click the account name -> More Settings -> Advanced tab -> Clear the check mark from download shared folders.

Be warned that search performance may be impacted, but when you go into a shared/additional mailbox you do now have the option for "Current mailbox" and it works.