When Microsoft made changes to the Security Portal in the Summer of 2022 an issue arose for on-prem mailbox users where they could no longer review quarantined messages for shared mailboxes.

↑ Error message when trying to review quarantined emails.
This was a known issue for Microsoft and although they accepted a design change request it seems unlikely it will be fixed soon, if ever. The only workaround is to get a Quarantine Admin to check the mails or else migrate the mailbox to the cloud.