In Office 365 and Exchange 2013 CU9, this feature is disabled by default.
For emails Sent As the shared mailbox:
set-mailbox <mailbox name> -MessageCopyForSentAsEnabled $True
For emails Sent On Behalf of the shared mailbox:
set-mailbox <mailbox name> -MessageCopyForSendOnBehalfEnabled $True
For messages Sent As the shared mailbox:
set-mailbox <mailbox name> -MessageCopyForSentAsEnabled $False
For emails Sent On Behalf of the shared mailbox:
set-mailbox <mailbox name> -MessageCopyForSendOnBehalfEnabled $False