Hello TA-John R,
Greetings!
Thank you for posting on Microsoft Community!
For your concerned query, I conducted some tests in my own environment, but I could not replicate you issue: I tried to turn on and off the conversation mode of a shared mailbox on 2 different delegates' Outlook desktop client and the attachment files are all there. And I also consulted a lot of Microsoft internal knowledge articles.
It could be the Outlook view issue, please try to use /cleanviews command switch:
In the Start menu, search field or press Windows key and R at the same time to open the Run command, type outlook.exe /cleanviews and press enter. Then restart Outlook and check. (Note, there is a space between outlook.exe and the "/").
Please also try to reset view for the problematic user's Outlook:
If that user's Outlook client version isn't the latest version, please also install Office updates.
For further troubleshooting, we also would like to confirm if this issue can be replicate on Outlook Web App?
If the above-mentioned instructions cannot address your concern, feel free to reply and provide more information to us. We will continue to support you.