First you have to import the movie from the Shared area to your Activity Stream in your Photos. Right click on the movie or select several if you wish, select Import. Now they are in your Photo library. Next you have to export from Photos to your hard drive. I use desktop. Again you can select several. Select the movies you want in iMovie and choose from Photos menu File > Export. Then you go into iMovie and start a new project or open an existing project you want the movies imported to. Then in iMovie menu File > Import and select your movies. I do one at a time and don't know what iMovie does if you try to import several at one. Now they are in iMovie. Reverse this process to add the completed project back to your Photos library and then to Shared you can drag and drop.
This is a lot of work and you should just be able to drag and drop from shared to iMovie, but Apple has all but stopped supporting iMovie these days and the integration with Photos is weak.