As per https://learn.microsoft.com/en-us/graph/extensibility-overview?tabs=python#comparison-of-extension-types, note 1:

Due to an existing service limitation, delegates cannot create open extension-appended events in shared mailbox calendars. Attempts to do so will result in an ErrorAccessDenied response.

So I guess, you can create exception in any mailbox (not only currently logged user) except shared.