In order to change outlook to allow cached exchange mode for multiple mailboxes change the following reg key:

Key: HKCU\Software\Microsoft\Office\12.0\Outlook\Cached Mode
DWORD: CacheOthersMail
Value: 1

Close Outlook, after you have changed / added this key start Outlook.
When you access the shared mailboxes – the first time it will download the content then after this access will be much faster – same as your main mailbox

Note: this fix is also in Office SP2 so best off just updating the SP.