Hi,
No they need to be exported out into the Hornbill mailbox, but I can't see how this would work with a shared mailbox in Exchange as the shared mailbox has no credentials. A shared mailbox isn't a person and is shared by many therefore each person actually uses their own credentials to authenticate against the mailbox or by using a service account. However, I can't see if there is a way of doing this in Hornbill.
In the section I think you would need another field such as as "email address" then specify the username and password rather than making the username the mailbox you export emails from Exchange you use the email address field as the mailbox you export from Exchange. Its similar to room booking by where you use a service account to connect to the mailbox but you are exporting the calendar from the room account rather than exporting direct from the service account.
Ryan