The issue has been solved in the IRC chat. I'm using fs Layout for mail_location:

mail_location = maildir:~/mail:LAYOUT=fs

but I didn't use it in the shared namespace

location = maildir:%%h/mail:INDEX=~/shared_mailboxes/%%n

So dovecot searched for mailboxes in maildir++ layout (e.g. user/.SharedMails instead user/SharedMails). Adding the layout definition to the location in the shared namespace fixed the issue.