Since I have not received your update, I will give you a test result based on my own understanding.
On Shared with me page, for single files, there is no Sync button.
As you said, if you go to the shared folder, there is one sync button.
For the above case, I think it's by design. The workaround is working with "Add shortcut to Myfiles". Then the file will be synced to OneDrive local folders.
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