See the problem?
Well this has been addressed in Exchange 2010 SP2 Update Rollup 4 and the latest update rollup in Exchange 2010 SP3. If you are still on Exchange 2003 or 2007 you will need to upgrade to be able to use this feature.
What Microsoft has done is implement a new feature which "copies" the email "Sent As" or "Sent on behalf" of the shared mailbox TO the shared mailboxes sent items from the users primary mailbox. This means the sent item will appear in both the shared mailbox and the users mailbox.
This needs to be manually configured on each shared mailbox with the following command:
Set-MailboxSentItemsConfiguration "shared mailbox name" -SendAsItemsCopiedTo SenderAndFrom -SendOnBehalfOfItemsCopiedTo SenderAndFrom
This command configures both SendOnBehalfOf and SendAs, if you only want to configure one of them, simply remove the one you want to not configure.
There is a problem however, this command the Set-MailboxSentItemsConfiguration and Get-MailboxSentItemsConfiguration commands were not included with Exchange 2013 or Office 365 and are still not available in the latest release Exchange 2013 CU8.
However, this feature will be coming out soon in Exchange 2013 CU9 but will have different commands and will no longer use the Set-MailboxSentItemConfiguration and Get-MailboxSentItemConfiguration cmdlets. The commands instead will use the Set-Mailbox cmdlet with the following syntax:
Also, this feature will be enabled by default on all mailboxes in Exchange 2013 CU9. Companies will no longer need to worry, shared mailboxes will automatically receive any emails "Sent As" or "Sent on behalf as".
More information on this new feature in Exchange 2013 CU9 can be found below:
This feature was NOT enabled by Default as originally promised by Microsoft. As a result you need to enable it on your shared mailboxes with the following commands:
setup /PrepareAD /IAcceptExchangeServerLicenseTerms