It depends on your business requirements.
If you want all mailbox enabled accounts synced and managed from on-prem, then create the remote shared mailbox on-prem.
If you have on-prem processes or applications that send email to the on-prem Exchange Server and may send email to the shared mailboxes, then create the remote shared mailbox on-prem
If you are fine simply managing the shared mailboxes directly in the 365, then create there.
Its really up to you and what works for your company :)