I was able to solve it by using the format below to specify the delegate mailbox as part of the user name.
Example: user = firstname.lastname@example.org\Mailbox
More Info here: http://www.limilabs.com/blog/access-shared-delegate-mailbox-exchange-server
Use the following user format Username@DomainName\MailboxAlias
In case of Office 365 MailboxAlias is a local part (no domain and no ‘@’) of the full email address (“Email address” input on “new shared mailbox” screen).