Even if you do delete the photo from your library each time you open Photo app it will download a copy of all your shared photos locally (this being separate from your library). Therefore, if you didn't delete that photo form the shared album you would technically have a duplicate of the photo.
This is the problem I am having as I have a mac air with only 128GB and have moved my photo library to an external but still find local copies of my shared photos every time I open Photo app. I have deleted these each time as it uses up in excess of 40GB of hard disk space but each time I open Photo app i find them all back on.
I have spoken to apple who have told me that to avoid this local copy (from the shared album not your library) I can turn off iCloud Photo Sharing (streams, photos and shared albums included). The problem with this is that then I cannot view them even on the website because you have to have one device with it turned on.
If someone can help with this conundrum it would be greatly appreciated!! 🙂