Hello @MaratP
thank you for post!
I believe what you are experiencing is expected. In Panorama "Shared" Device Group is available in drop down list only under: Device Groups > POLICIES. Under Device Groups > OBJECTS, whether an object is shared or belongs to specific Device Group depends on the column called LOCATION. If you create an object and select a check box "Shared" it it going to be available to all Device Groups. If you do not select it, the object you are creating belongs to specific Device Group. Here is a reference in documentation: Create Objects for Use in Shared or Device Group Policy.
Kind Regards
Pavel
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