Symptoms

When we tried to access a shared mailbox in the Import Profile we received a message

Incorrect IMAP command: T3 BAD User is authenticated but not connected

Cause

The issue might be the Exchange server keeping a list of all of your active login sessions.

Resolution

If you have already verified that your password is correct (by logging into your mailbox from the web) then the issue might be the Exchange server keeping a list of all of your active login sessions.
Try signing out from all other locations by clicking "sign out everywhere" on the account security page https://mysignins.microsoft.com/security-info and then retry signing in again.