Technically, you can't set up out-of-office for shared mailboxes through a normal way, because you can't log in with Outlook on those accounts. A workaround would be to temporarily convert it to a regular mailbox, grant a license to it, and then log in with Outlook, but this is not always possible or desired.

Fortunately, you can also enable out-of-office through Powershell on any mailbox, including shared and resource mailboxes.

http://support.microsoft.com/kb/2667296