Shared With Me should work for items shared to Groups
Shared With Me is a nice place to find all the directories and files that different people have shared with you. But if you share an item to a group (SharePoint Group or Office 365 Group) the item does not appear in the recipients Shared With Me window. Only items shared to individuals appear in Shared With Me. Our university had this confirmed by MS engineers, who then suggested I post the issue here, to gather support.
Mario P. commented
Yes, to specify even more why not allow those Shared With me to be automatically SYNCED via OneDrive in windows like it does in the iPhone and Android apps? don't you guys talk to each other when releasing such features to ensure they are a standard feature throughout the entire whole platform?