Thank you, but this doesn't not work from an album I shared. It works when someone has shared an album with me but not the other way around.
Really? My screenshot is from an album that I shared. You may be seeing no reaction to the "Import", because the photo is already in the library. But after you "Import" again, the menu item "Show in Moment" will be available. For some reason this command will only appear, after I import the shared photo, even if it has been shared from the same library.
When you use "Show in Moment" for your shared photos after importing, you will notice that the version imported from the Shared album has a lower pixel size than the original in your library, and you may prefer to use the better original. The imported versions will maximally have a resolution of 2048 at the longest side, so if you want to backup the photos it would be better to backup the versions you already have in your library.