
I suspect the original intent for this behavior is for people who had access to another persons individual mailbox or a given mail folder via Delegate Access, and there needed to be a way to prevent that person from seeing certain items. If mailbox is added to Outlook as another account, than any email marked with Sensitivity = Private can be viewed in Outlook and OWA Users will see unread count increase in Outlook. If you grant access to another mailboxes (doesn't matter if it's a user mailbox or a shared mailbox) and the mailbox is added via auto mapping or as an additional mailbox in advanced settings on the profile, any email marked with Sensitivity = Private sent to that mailbox cannot be viewed in Outlook.

This behavior has existed in Outlook "forever" and it's on-purpose.

I just dealt with the exact same thing this week.
