Hi David,
Unfortunately this must be set at the share level right now so yes you would need both a hot and a cool share. It's different with blob storage where you can have a mix of different access tiers within the same blob container but that doesn't really help you here. I think the best you can try to do is to try and reduce the total number of shares that you use, maybe reduce the level of access to the cool shares so that not all users can see these.